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The Endowment Model and Modern Portfolio Theory
16 references·1 citing·40 second hop
The Endowment Model and Modern Portfolio Theory (2023)The Endowment Model and Modern Portfolio …Dynamic Trading with Predictable Returns and Transaction Costs (2013)Dynamic Trading with Predicta…Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Can Time‐Varying Risk of Rare…The Economics of Private Equity Funds (2010)The Economics of Private Equi…Share restrictions and asset pricing: Evidence from the hedge fund industry☆ (2006)Share restrictions and asset …Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…An econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…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…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Nonexpected Utility in Macroeconomics (1990)Nonexpected Utility in Macroe…Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods (1990)Asset Pricing and Optimal Por…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…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 …The Socio-Economic Impacts of Waqf Investment Funds as a Model for Sustainable Financing in Saudi Arabia (2025)The Socio-Economic Impacts of…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)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)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 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)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Hedge Funds: Performance, Risk, and Capital Formation (2008)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)A Survey of Systemic Risk Analytics (2012)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Arbitrage Theory in Continuous Time (1998)Optimal control of execution costs (1998)Arbitrage Theory in Continuous Time (2004)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 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
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
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  • 2004An econometric model of serial correlation and illiquidity in hedge fund returns1,000 cited
  • 1990Nonexpected Utility in Macroeconomics986 cited
  • 2013Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?914 cited
  • 2010The Economics of Private Equity Funds671 cited
  • 2013Dynamic Trading with Predictable Returns and Transaction Costs563 cited
  • 1990Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods

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518 cited
  • 2006Share restrictions and asset pricing: Evidence from the hedge fund industry☆499 cited
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    • 2025The Socio-Economic Impacts of Waqf Investment Funds as a Model for Sustainable Financing in Saudi Arabia15 cited