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Equilibrium investment with random risk aversion
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Equilibrium investment with random risk aversion (2023)Equilibrium investment with random risk a…Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium (2017)Time-Inconsistent Stochastic …On time-inconsistent stochastic control in continuous time (2017)On time-inconsistent stochast…A theory of Markovian time-inconsistent stochastic control in discrete time (2014)A theory of Markovian time-in…MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)MEAN–VARIANCE PORTFOLIO OPTIM…Dynamic Mean-Variance Asset Allocation (2010)Dynamic Mean-Variance Asset A…Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2010)Dynamic estimation of volatil…Recursive smooth ambiguity preferences (2009)Recursive smooth ambiguity pr…Investment and consumption without commitment (2008)Investment and consumption wi…A New Method of Estimating Risk Aversion (2006)A New Method of Estimating Ri…A Smooth Model of Decision Making under Ambiguity (2005)A Smooth Model of Decision Ma…Differentiating ambiguity and ambiguity attitude (2004)Differentiating ambiguity and…A Smooth Model of Decision Making Under Ambiguity (2003)A Smooth Model of Decision Ma…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…Discrete Choice under Preference Uncertainty: An Improved Structural Model for Contingent Valuation (1995)Discrete Choice under Prefere…Myopia and Inconsistency in Dynamic Utility Maximization (1973)Myopia and Inconsistency in D…Myopia and Inconsistency in Dynamic Utility Maximization (1955)Myopia and Inconsistency in D…PORTFOLIO SELECTION* (1952)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011)Risk, Ambiguity, and the Savage Axioms (1961)Maxmin expected utility with non-unique prior (1989)Subjective probability and expected utility without additivity (2004)Neural Signatures of Economic Preferences for Risk and Ambiguity (2006)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Risky business: the neuroeconomics of decision making under uncertainty (2008)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Cross‐Section of Volatility and Expected Returns (2006)The information content of option-implied volatility for credit default swap valuation (2010)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)The Time Variation in Risk Appetite and Uncertainty (2021)A Theory of the Term Structure of Interest Rates (1985)A General Theory of Markovian Time Inconsistent Stochastic Control Problems (2010)A Maximum Principle for SDEs of Mean-Field Type (2010)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Laboratory (2008)Sensitivity analysis: A review of recent advances (2015)Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Study (1997)Developments in Non-Expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk (2000)Risk Aversion and Expected-utility Theory: A Calibration Theorem (2000)Estimating Risk Preferences from Deductible Choice (2007)Rare Disasters, Asset Prices, and Welfare Costs (2009)Salience and Taxation: Theory and Evidence (2009)The Framing of Decisions and the Psychology of Choice (1981)Golden Eggs and Hyperbolic Discounting (1997)Time Discounting and Time Preference: A Critical Review (2002)Objective and Subjective Rationality in a Multiple Prior Model (2010)Axiomatic Foundations of Multiplier Preferences (2011)Is economic uncertainty priced in the cross-section of stock returns? (2017)11. Reasons and Persons (1986)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
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References

  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited
  • 1973Myopia and Inconsistency in Dynamic Utility Maximization2,743 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 2005A Smooth Model of Decision Making under Ambiguity1,889 cited
  • 2004Differentiating ambiguity and ambiguity attitude915 cited
  • 2006A New Method of Estimating Risk Aversion700 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 2010Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities470 cited
  • 2003A Smooth Model of Decision Making Under Ambiguity434 cited
  • 2009Recursive smooth ambiguity preferences395 cited
  • 2017On time-inconsistent stochastic control in continuous time325 cited
  • 1995Discrete Choice under Preference Uncertainty: An Improved Structural Model for Contingent Valuation310 cited
  • 2008Investment and consumption without commitment285 cited
  • 2014A theory of Markovian time-inconsistent stochastic control in discrete time224 cited

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  • 2017Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium147 cited
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