SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Long-Term Risk: An Operator Approach
7 references·16 citing·45 second hop
Long-Term Risk: An Operator Approach (2008)Long-Term Risk: An Operator ApproachStochastic Integration and Differential Equations : A New Approach (2014)Stochastic Integration and Di…Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth (2005)Using Asset Prices to Measure…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Optimal Consumption and Portfolio Selection with Stochastic Differential Utility (1999)Optimal Consumption and Portf…Stochastic Differential Utility (1992)Stochastic Differential Utili…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Valuing Private Equity Investments Strip by Strip (2021)Valuing Private Equity Invest…The Term Structure of Currency Carry Trade Risk Premia (2019)The Term Structure of Currenc…The term structure of returns: Facts and theory (2017)The term structure of returns…Excess Volatility: Beyond Discount Rates* (2017)Excess Volatility: Beyond Dis…Risks for the long run: Estimation with time aggregation (2016)Risks for the long run: Estim…Misspecified Recovery (2016)Misspecified RecoveryLinear‐Rational Term Structure Models (2016)Linear‐Rational Term Structur…How Much Would You Pay to Resolve Long-Run Risk? (2014)How Much Would You Pay to Res…Sources of Entropy in Representative Agent Models (2013)Sources of Entropy in Represe…Asset Pricing in the Frequency Domain: Theory and Empirics (2013)Asset Pricing in the Frequenc…Asset Prices with Heterogeneity in Preferences and Beliefs (2013)Asset Prices with Heterogenei…Valuation of VIX derivatives (2012)Valuation of VIX derivativesAsset Pricing Tests with Long-run Risks in Consumption Growth (2011)Asset Pricing Tests with Long…Understanding, modelling and managing longevity risk: key issues and main challenges (2010)Understanding, modelling and …The Econometrics of Option Pricing (2010)The Econometrics of Option Pr…Asset Prices with Heterogeneity in Preferences and Beliefs (2010)Asset Prices with Heterogenei…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Brownian Motion and Stochastic Calculus (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Trends and random walks in macroeconmic time series (1982)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Long-Run Risk through Consumption Smoothing (2010)Disasters Implied by Equity Index Options (2011)Innovation, Growth, and Asset Prices (2015)Optimum consumption and portfolio rules in a continuous-time model (1971)Martingales and arbitrage in multiperiod securities markets (1979)A Monte Carlo Method for Optimal Portfolios (2003)The Levered Equity Risk Premium and Credit Spreads: A Unified Framework (2009)Portfolio Choice Problems (2010)Asset Prices in an Exchange Economy (1978)Cash flow duration and the term structure of equity returns (2018)Coronavirus: Impact on Stock Prices and Growth Expectations (2020)Coronavirus: Impact on Stock Prices and Growth Expectations (2020)On the Impossibility of Informationally Efficient Markets (1980)Noise Trader Risk in Financial Markets (1990)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Evolution and Intelligent Design (2008)Economic Uncertainty, Disagreement, and Credit Markets (2013)Survival and Long-Run Dynamics with Heterogeneous Beliefs under Recursive Preferences (2019)Option pricing by Esscher transforms. (1995)Estimating quadratic variation using realized variance (2002)Common Failings: How Corporate Defaults Are Correlated (2007)Endogenous Disasters (2018)Declining CO 2 price paths (2019)The Risk-Adjusted Carbon Price (2021)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)
this work references cited by second hop

References

  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 2014Stochastic Integration and Differential Equations : A New Approach686 cited
  • 2005Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth338 cited
  • 1999Optimal Consumption and Portfolio Selection with Stochastic Differential Utility312 cited

Cited by

  • 2017The term structure of returns: Facts and theory214 cited
  • 2013Asset Prices with Heterogeneity in Preferences and Beliefs213 cited
  • 2014How Much Would You Pay to Resolve Long-Run Risk?197 cited
  • 2012Valuation of VIX derivatives184 cited
  • 2013Asset Pricing in the Frequency Domain: Theory and Empirics182 cited
  • 2013Sources of Entropy in Representative Agent Models145 cited
  • 2011Asset Pricing Tests with Long-run Risks in Consumption Growth129 cited
  • 2016Misspecified Recovery128 cited

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

  • 2016Risks for the long run: Estimation with time aggregation125 cited
  • 2019The Term Structure of Currency Carry Trade Risk Premia122 cited
  • 2010Understanding, modelling and managing longevity risk: key issues and main challenges122 cited
  • 2010The Econometrics of Option Pricing110 cited
  • 2016Linear‐Rational Term Structure Models108 cited
  • 2010Asset Prices with Heterogeneity in Preferences and Beliefs107 cited
  • 2021Valuing Private Equity Investments Strip by Strip106 cited
  • 2017Excess Volatility: Beyond Discount Rates*106 cited