SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Lifetime investment and consumption using a defined-contribution pension scheme
16 references·1 citing·32 second hop
Lifetime investment and consumption using a defined-contribution pension scheme (2012)Lifetime investment and consumption using…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…Continuous-Time Finance. (1991)Continuous-Time Finance.Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…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 …Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…A Theory of the Consumption Function (1960)A Theory of the Consumption F…Theory of the Consumption Function (1957)Theory of the Consumption Fun…The General Theory of Employment, Interest and Money. (1936)The General Theory of Employm…The General Theory of Employment, Interest and Money. (1936)The General Theory of Employm…THE EXTENDED MRP MODEL FOR THE EVALUATION AND FINANCING OF SUPERANNUATION SCHEMES IN A SUPPLY CHAIN (2014)THE EXTENDED MRP MODEL FOR TH…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The equity premium: A puzzle (1985)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Household Finance (2006)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Does the Stock Market Overreact? (1985)Introduction: epistemic communities and international policy coordination (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)Dividend yields and expected stock returns (1988)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Business conditions and expected returns on stocks and bonds (1989)Efficient Capital Markets: II (1991)Capital markets research in accounting (2001)On the measurement of inequality (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)
this work references cited by second hop

References

  • 1936The General Theory of Employment, Interest and Money.14,687 cited
  • 1936The General Theory of Employment, Interest and Money.12,863 cited
  • 2007Brownian Motion and Stochastic Calculus7,544 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2016Numerical solution of stochastic differential equations5,096 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1957Theory of the Consumption Function3,335 cited
  • 1991Brownian motion and stochastic calculus2,337 cited
  • 1960A Theory of the Consumption Function2,306 cited
  • 1998Brownian Motion and Stochastic Calculus2,219 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1991Continuous-Time Finance.1,805 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1,692 cited

Cited by

  • 2014THE EXTENDED MRP MODEL FOR THE EVALUATION AND FINANCING OF SUPERANNUATION SCHEMES IN A SUPPLY CHAIN10 cited