An Intertemporal Capital Asset Pricing Model
From MaRDI portal
Publication:4770167
DOI10.2307/1913811zbMath0283.90003OpenAlexW2134807435WikidataQ56143066 ScholiaQ56143066MaRDI QIDQ4770167
Publication date: 1973
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/acc53fa6a9dcf7c14ea265c4a51e05a7bd9269ea
Related Items (only showing first 100 items - show all)
The role of index bonds in universal currency hedging ⋮ A current-value Hamiltonian approach to discrete-time optimal control problems in economic growth theory ⋮ Market price of risk estimation: Does distribution matter? ⋮ Detecting at‐Most‐m Changes in Linear Regression Models ⋮ KELLY TRADING AND MARKET EQUILIBRIUM ⋮ Is news related to GDP growth a risk factor for commodity futures returns? ⋮ Modelling fundamental analysis in portfolio selection ⋮ Optimal investment under multi-factor stochastic volatility ⋮ A class of complete benchmark models with intensity-based jumps ⋮ Distortion Risk Measures Under Skew Normal Settings ⋮ Skewness Term-Structure Tests ⋮ An Optimal Consumption Problem for General Factor Models ⋮ Social contagion and the survival of diverse investment styles ⋮ Pairs trading with wavelet transform ⋮ Risk‐sensitive benchmarked asset management with expert forecasts ⋮ Young, timid, and risk takers ⋮ Unnamed Item ⋮ Household financial health: a machine learning approach for data-driven diagnosis and prescription ⋮ Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach ⋮ Local linear regression with nonparametrically generated covariates for weakly dependent data ⋮ On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging ⋮ Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model ⋮ The Role of (Quasi) Analyticity in Establishing Completeness of Financial Markets Equilibria ⋮ Longevity hedge effectiveness using socioeconomic indices ⋮ Optimal asset allocation for commodity sovereign wealth funds ⋮ THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL ⋮ A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES ⋮ FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET ⋮ Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market ⋮ Duesenberry Equilibrium and Heterogenous Agents ⋮ A memory-based method to select the number of relevant components in principal component analysis ⋮ Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network ⋮ Optimal Asset Allocation with Asymptotic Criteria ⋮ A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle ⋮ A PRICING OPERATOR‐BASED TESTING FOUNDATION FOR A CLASS OF FACTOR PRICING MODELS ⋮ Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility ⋮ Bayesian, MLE, and GMM Estimation of a Spot Rate Model ⋮ Modelling nonlinearities in equity returns: the mean impact curve analysis ⋮ POSITIVE ALPHAS, ABNORMAL PERFORMANCE, AND ILLUSORY ARBITRAGE ⋮ On the structure of multifactor optimal portfolio strategies ⋮ A Universal Framework for Pricing Financial and Insurance Risks ⋮ Conditional investment policy under uncertainty and irreversibility ⋮ Equilibrium with new investment opportunities ⋮ On optimal portfolio choice under stochastic interest rates ⋮ Asset pricing with disequilibrium price adjustment: theory and empirical evidence ⋮ EMU equity markets' return variance and spillover effects from the short-term interest rate ⋮ OPTIMAL INVESTMENT STRATEGY VIA INTERVAL ARITHMETIC ⋮ Strategic commodity allocation ⋮ In search of statistically valid risk factors ⋮ Uncertainty aversion, robust control and asset holdings ⋮ A financial CCAPM and economic inequalities ⋮ Real (investment) options with multiple sources of rare events ⋮ Dynamic asset allocation with mean variance preferences and a solvency constraint ⋮ Optimal contribution rate of PAYGO pension ⋮ Should Commodity Investors Follow Commodities' Prices? ⋮ A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering ⋮ Investment decisions when utility depends on wealth and other attributes ⋮ Heuristic option pricing with neural networks and the neuro-computer synapse 3 ⋮ Revisiting the intertemporal risk–return relation: asymmetrical effect of unexpected volatility shocks ⋮ Reconciling negative return skewness with positive time-varying risk premia ⋮ Eigendecomposition of the Mean-Variance Portfolio Optimization Model ⋮ Reconstructing an economic space from a market metric ⋮ Pricing long-lived securities in dynamic endowment economies ⋮ Portfolio management with targeted constant market volatility ⋮ Nonparametric kernel density estimation near the boundary ⋮ Intertemporal risk-return tradeoff in the short-run ⋮ Consistent estimation of a general nonparametric regression function in time series ⋮ An approximate moving boundary method for American option pricing ⋮ Structural estimation of jump-diffusion processes in macroeconomics ⋮ Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles ⋮ SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS ⋮ Static and dynamic factors in an information-based multi-asset artificial stock market ⋮ Traders' networks of interactions and structural properties of financial markets: an agent-based approach ⋮ ARCH models as diffusion approximations ⋮ Asset market equilibrium with liquidity risk ⋮ Intertemporal asset allocation when the underlying factors are unobservable ⋮ Asymptotic distribution-free tests for semiparametric regressions with dependent data ⋮ Information and dynamic trading with the Gambler's fallacy ⋮ On the Transmission of Memory in Garch‐in‐Mean Models ⋮ Optimal portfolios when variances and covariances can jump ⋮ A new approach to risk-return trade-off dynamics via decomposition ⋮ Consumption-based CAPM with belief heterogeneity ⋮ Leveraged investments and agency conflicts when cash flows are mean reverting ⋮ Robustness of stable volatility strategies ⋮ STATIC FUND SEPARATION OF LONG-TERM INVESTMENTS ⋮ Horizon effect in the term structure of long-run risk-return trade-offs ⋮ Building multi-scale portfolios and efficient market frontiers using fractal regressions ⋮ A theoretical foundation of ambiguity measurement ⋮ Gain/loss asymmetric stochastic differential utility ⋮ Asset equilibria in \(L^ p\) spaces with complete markets: A duality approach ⋮ Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading ⋮ ON THE SHAPE OF RISK AVERSION AND ASSET ALLOCATION ⋮ Optimal control of investment, premium and deductible for a non-life insurance company ⋮ Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model ⋮ Using principal component analysis to estimate a high dimensional factor model with high-frequency data ⋮ The stochastic shortest path problem: a polyhedral combinatorics perspective ⋮ Why is it so difficult to uncover the risk-return tradeoff in stock returns? ⋮ Purchasing power parity between the UK and Germany: the euro era ⋮ Risk measures and behaviors for bonds under stochastic interest rate models ⋮ An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio
This page was built for publication: An Intertemporal Capital Asset Pricing Model
