An Intertemporal Capital Asset Pricing Model
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Publication:4770167
DOI10.2307/1913811zbMATH Open0283.90003OpenAlexW2134807435WikidataQ56143066 ScholiaQ56143066MaRDI QIDQ4770167FDOQ4770167
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Cited in
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- Empirical evidence on Student-\(t\) log-returns of diversified world stock indices
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- Futures markets and commodity options: Hedging and optimality in incomplete markets
- Why is it so difficult to uncover the risk-return tradeoff in stock returns?
- On user costs of risky monetary assets
- On the shape of risk aversion and asset allocation
- Multi-period portfolio optimization with linear control policies
- ARCH modeling in finance. A review of the theory and empirical evidence
- Real (investment) options with multiple sources of rare events
- Estimating the diffusion coefficient function for a diversified world stock index
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- Dynamic portfolio choice and asset pricing with narrow framing and probability weighting
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- Dynamic asset pricing with non-redundant forwards
- Optimal portfolio management with American capital guarantee
- Priced risk and asymmetric volatility in the cross section of skewness
- Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors
- How to invest optimally in corporate bonds: a reduced-form approach
- Evaluating latent and observed factors in macroeconomics and finance
- Comparative Dynamics of an Equilibrium Intertemporal Asset Pricing Model
- The instantaneous capital market line
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- Can properly discounted projects follow geometric Brownian motion?
- The dynamics of speculative behaviour
- The asset allocation puzzle is still a puzzle
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
- ARCH models as diffusion approximations
- Heterogeneous beliefs, wealth accumulation, and asset price dynamics
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- Irreversible exit decisions under mean-reverting uncertainty
- FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS
- Asset Pricing in Multiperiod Securities Markets
- Incomplete information equilibria: separation theorems and other myths
- Interest rate options valuation under incomplete information
- Stock index dynamics and derivatives pricing with stochastic interest rates
- Numerical solutions to dynamic portfolio problems: The case for value function iteration using Taylor approximation
- Equilibrium Models With Singular Asset Prices
- On the Transmission of Memory in Garch‐in‐Mean Models
- Asset pricing for general processes
- The effect of uncertainty on investment timing in a real options model
- Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
- An Adjustment Cost Model of Asset Pricing
- ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE
- Optimal investment under multi-factor stochastic volatility
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Positive alphas and a generalized multiple-factor asset pricing model
- Risk sensitive asset allocation
- Optimal investment decisions when time-horizon is uncertain
- Infinite horizon CAPM equilibrium
- Optimal asset allocation: a worst scenario expectation approach
- On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis
- Investor heterogeneity, asset pricing and volatility dynamics
- Asymptotics for parametric GARCH-in-mean models
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- On optimal portfolio choice under stochastic interest rates
- OPTIMAL INVESTMENT STRATEGY VIA INTERVAL ARITHMETIC
- Optimal contracts in portfolio delegation
- Optimal consumption and portfolio rules with intertemporally dependent utility of consumption
- Semiparametric inference in a GARCH-in-mean model
- Capital asset pricing model (CAPM) with drawdown measure
- The paradox effects of uncertainty and flexibility on investment in renewables under governmental support
- Nonparametric kernel density estimation near the boundary
- Asset equilibria in \(L^ p\) spaces with complete markets: A duality approach
- Multi-period information markets
- Structural estimation of jump-diffusion processes in macroeconomics
- Mutual funds performance appraisal using stochastic multicriteria acceptability analysis
- Consistent estimation of a general nonparametric regression function in time series
- Seasonality and idiosyncratic risk in mutual fund performance
- Reconciling negative return skewness with positive time-varying risk premia
- Robust option pricing
- Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
- Optimal portfolio choice for unobservable and regime-switching mean returns
- The effect of mean reversion on investment under uncertainty
- Real R\&D options with time-to-learn and learning-by-doing
- Portfolio selection with transactions costs
- Robust monitoring of CAPM portfolio betas. II
- On the investment-uncertainty relationship in a real options model
- State-dependent utilities and incomplete markets
- An approximate moving boundary method for American option pricing
- The effect of mean reversion on entry and exit decisions under uncertainty
- Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints
- Econophysics for philosophers
- Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
- Optimal Asset Allocation with Asymptotic Criteria
- Estimation and pricing under long-memory stochastic volatility
- Unexplained factors and their effects on second pass \(R\)-squared's
- Static fund separation of long-term investments
- Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good
- Information and dynamic trading with the Gambler's fallacy
- Risk minimization in multi-factor portfolios: what is the best strategy?
- Asset market equilibrium with liquidity risk
- Information-based multi-assets artificial stock market with heterogeneous agents
- Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading
- Statistical mechanics of financial markets: exponential modifications to Black-Scholes.
- Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies
- Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps
- Option Pricing Under Incompleteness and Stochastic Volatility
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