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Intertemporal Risk, Uncertainty Resolution, and Recursive Preferences: A Closed-Form Example
12 references·0 citing·42 second hop
Intertemporal Risk, Uncertainty Resolution, and Recursive Preferences: A Closed-Form Example (2018)Intertemporal Risk, Uncertainty Resolutio…Risk Preferences and the Macroeconomic Announcement Premium (2018)Risk Preferences and the Macr…Macro-Finance (2017)Macro-FinanceAsset Pricing with Countercyclical Household Consumption Risk (2016)Asset Pricing with Countercyc…Young, Old, Conservative, and Bold: The Implications of Heterogeneity and Finite Lives for Asset Pricing (2014)Young, Old, Conservative, and…How Much Would You Pay to Resolve Long-Run Risk? (2014)How Much Would You Pay to Res…An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (2009)An Empirical Evaluation of th…Consumption Strikes Back? Measuring Long‐Run Risk (2008)Consumption Strikes Back? Mea…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Stochastic Differential Utility (1992)Stochastic Differential Utili…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE (1988)THE EQUITY PREMIUM PUZZLE AND…Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)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)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)Utility Theory for Decision Making (1971)A Smooth Model of Decision Making under Ambiguity (2005)Expected Stock Returns and Variance Risk Premia (2009)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010)Market Expectations in the Cross‐Section of Present Values (2013)Disaster on the horizon: The price effect of sea level rise (2019)Maxmin expected utility with non-unique prior (1989)One Central Bank to Rule Them All (2019)Premium for heightened uncertainty: Explaining pre-announcement market returns (2021)Macroeconomic Attention and Announcement Risk Premia (2022)Debt, Deficits, and Finite Horizons (1985)Myopic Loss Aversion and the Equity Premium Puzzle (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Multifactor Explanations of Asset Pricing Anomalies (1996)Time Variation of the Equity Term Structure (2017)Microeconomic Heterogeneity and Macroeconomic Shocks (2018)Zeroing In on the Expected Returns of Anomalies (2022)Endogenous Disasters (2018)Declining CO 2 price paths (2019)The Risk-Adjusted Carbon Price (2021)Asset Prices with Heterogeneity in Preferences and Beliefs (2013)Pockets of Predictability (2018)Volatility Expectations and Returns (2022)
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
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1988THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE1,378 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
  • 2017Macro-Finance337 cited
  • 2014Young, Old, Conservative, and Bold: The Implications of Heterogeneity and Finite Lives for Asset Pricing264 cited
  • 2018Risk Preferences and the Macroeconomic Announcement Premium228 cited
  • 2014How Much Would You Pay to Resolve Long-Run Risk?197 cited
  • 2009An Empirical Evaluation of the Long-Run Risks Model for Asset Prices158 cited
  • 2016Asset Pricing with Countercyclical Household Consumption Risk116 cited

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