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The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility
16 references·11 citing·44 second hop
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this work references cited by second hop

References

  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1988THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE1,378 cited
  • 1990Nonexpected Utility in Macroeconomics986 cited
  • 1989The Equity Premium Puzzle and the Riskfree Rate Puzzle922 cited
  • 2006Portfolio Selection in Stochastic Environments660 cited
  • 2001Who Should Buy Long-Term Bonds?624 cited
  • 1992Risk-Taking, Global Diversification, and Growth527 cited
  • 2005Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets418 cited
  • 1999Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets363 cited
  • 2003Strategic Asset Allocation: Portfolio Choice for Long‐Term Investors.317 cited
  • 1999Optimal Consumption and Portfolio Selection with Stochastic Differential Utility312 cited
  • 1989Portfolio choice with non-expected utility in continuous time

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139 cited
  • 1989Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model137 cited
  • Cited by

    • 2007Optimal portfolios when volatility can jump59 cited
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    • 2008Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence43 cited
    • 2010Solving Consumption and Portfolio Choice Problems: The State Variable Decomposition Method40 cited
    • 2020Lifetime investment and consumption with recursive preferences and small transaction costs25 cited
    • 2008Asset Pricing with Real Investment Commitment24 cited
    • 2003Dynamic Asset Allocation23 cited
    • 2008Optimal funding and investment strategies in defined contribution pension plans under Epstein-Zin utility17 cited
    • 2014Household Finance over the Life-Cycle: What does Education Contribute?16 cited
    • 2014Secure Job And Risky Choices? An Analysis Of State And Wealth Dependence Of Risk Aversion Using Severance Pay Allocation0 cited
    • 2017On the State and Wealth dependence of risk aversion: An analysis using severance pay allocation0 cited