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Dynamic Portfolio Choice and Risk Aversion
16 references·0 citing·30 second hop
Dynamic Portfolio Choice and Risk Aversion (2006)Dynamic Portfolio Choice and Risk AversionTheory of games and economic behavior (2019)Theory of games and economic …Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …On estimating the expected return on the market (1980)On estimating the expected re…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…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 …Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…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)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)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)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Moral Hazard and Observability (1979)The New Institutional Economics: Taking Stock, Looking Ahead (2000)The Framing of Decisions and the Psychology of Choice (1981)Advances in prospect theory: Cumulative representation of uncertainty (1992)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)
this work references cited by second hop

References

  • 2019Theory of games and economic behavior16,630 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 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
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited

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  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
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