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Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
16 references·13 citing·29 second hop
Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences (2008)Portfolio and consumption choice with sto…The Econometrics of Financial Markets (2012)The Econometrics of Financial…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Continuous-Time Finance. (1991)Continuous-Time Finance.Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Annuity and insurance choice under habit formation (2022)Annuity and insurance choice …Editorial to the special issue on Behavioral Insurance: Mathematics and Economics (2021)Editorial to the special issu…QUANTIFYING THE TRADE-OFF BETWEEN INCOME STABILITY AND THE NUMBER OF MEMBERS IN A POOLED ANNUITY FUND (2020)QUANTIFYING THE TRADE-OFF BET…Optimal Consumption with Reference to Past Spending Maximum (2020)Optimal Consumption with Refe…The Duration Puzzle in Life-Cycle Investment (2019)The Duration Puzzle in Life-C…Portfolio selection with consumption ratcheting (2018)Portfolio selection with cons…Constrained non-concave utility maximization: An application to life insurance contracts with guarantees (2018)Constrained non-concave utili…Optimal retirement time under habit persistence: what makes individuals retire early? (2017)Optimal retirement time under…Consumption Habits and Humps (2017)Consumption Habits and HumpsUtility maximization with addictive consumption habit formation in incomplete semimartingale markets (2015)Utility maximization with add…Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level (2014)Consumption and Portfolio Cho…Consumption and Portfolio Choice under Loss Aversion and Endogenous Updating of the Reference Level (2014)Consumption and Portfolio Cho…Optimal consumption and investment under time-varying relative risk aversion (2011)Optimal consumption and inves…Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Introductory Econometrics for Finance (2008)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming

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  • 2020QUANTIFYING THE TRADE-OFF BETWEEN INCOME STABILITY AND THE NUMBER OF MEMBERS IN A POOLED ANNUITY FUND35 cited
  • 2019The Duration Puzzle in Life-Cycle Investment34 cited
  • 2015Utility maximization with addictive consumption habit formation in incomplete semimartingale markets33 cited
  • 2020Optimal Consumption with Reference to Past Spending Maximum32 cited
  • 2011Optimal consumption and investment under time-varying relative risk aversion32 cited
  • 2022Annuity and insurance choice under habit formation21 cited
  • 2017Optimal retirement time under habit persistence: what makes individuals retire early?20 cited
  • 2014Consumption and Portfolio Choice under Loss Aversion and Endogenous Updating of the Reference Level17 cited
  • 2014Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level6 cited
  • 2021Editorial to the special issue on Behavioral Insurance: Mathematics and Economics3 cited