An Intertemporal Capital Asset Pricing Model
From MaRDI portal
Publication:4770167
Recommendations
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- Asset Pricing in Multiperiod Securities Markets
- An intertemporal capital asset pricing model under incomplete information and short sales
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Comparative Dynamics of an Equilibrium Intertemporal Asset Pricing Model
Cited in
(only showing first 100 items - show all)- 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
- Risk premia in general equilibrium
- Capital mobility and asset pricing
- On the market price of risk
- Asset pricing with disequilibrium price adjustment: theory and empirical evidence
- Finite project life and uncertainty effects on investment
- Rational expectations equilibrium with conditioning on past prices: A mean-variance example
- Does knowing the volatility states affect the market risk premium?
- A lattice approach for pricing of multivariate contingent claims
- Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market
- Optimal portfolio and consumption decisions in a stochastic environment with precommitment
- Portfolio choice with Knightian uncertainty
- In which financial markets do mutual fund theorems hold true?
- Exact and asymptotic tests on a factor model in low and large dimensions with applications
- The size and power of the bias-corrected bootstrap test for regression models with autocorrelated errors
- Systemic losses due to counterparty risk in a stylized banking system
- Risky asset allocation and consumption rule in the presence of background risk and insurance markets
- Nonlinearity and Endogeneity in Macro-Asset Pricing
- Mean-variance versus expected utility in dynamic investment analysis
- Intertemporal surplus management
- Fractional-moment capital asset pricing model
- The mean-variance investment problem in a constrained financial market
- Conditional investment policy under uncertainty and irreversibility
- Optimal growth under uncertainty
- Diversified portfolios with jumps in a benchmark framework
- Risk taking by banks and capital accumulation: A portfolio approach
- The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method
- Intertemporal asset pricing and the marginal utility of wealth
- Semi- and nonparametric ARCH processes
- Further results on asset pricing with incomplete information
- Risk measurement in semimartingale models with multiple consumption goods
- Parameter estimation in stochastic scenario generation systems
- Information structure and equilibrium asset prices
- Esscher transforms and consumption-based models
- Monotonicity and continuity of the critical capital stock in the Dechert-Nishimura model
- A Universal Framework for Pricing Financial and Insurance Risks
- Static and dynamic factors in an information-based multi-asset artificial stock market
- Nonmyopic optimal portfolios in viable markets
- Cleaning large correlation matrices: tools from random matrix theory
- A capital asset pricing model under stable Paretian distributions in a pure exchange economy
- Reconstructing an economic space from a market metric
- Portfolio selections under mean-variance preference with multiple priors for means and variances
- UNCERTAINTY AVERSION, ROBUST CONTROL AND ASSET HOLDINGS WITH A STOCHASTIC INVESTMENT OPPORTUNITY SET
- The Consumption-Based Capital Asset Pricing Model
- Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets
- Dynamic asset pricing theory with uncertain time-horizon
- Dynamic asset allocation with mean variance preferences and a solvency constraint
- Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles
- New evidence on risk factors, characteristics and the cross-sectional variation of Japanese stock returns
- Dynamic firm behavior within an uncertain environment
- Positive alphas, abnormal performance, and illusory arbitrage
- Empirical evidence on Student-\(t\) log-returns of diversified world stock indices
- Sequentiel testing for the stability of high-frequency portfolio betas
- 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
- Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach
- Dynamic portfolio choice and asset pricing with narrow framing and probability weighting
- MIDAS Regressions: Further Results and New Directions
- Long run risk sensitive portfolio with general factors
- 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
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- 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
- Labor income, borrowing constraints, and equilibrium asset prices
- Irreversible exit decisions under mean-reverting uncertainty
- FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS
- Asset Pricing in Multiperiod Securities Markets
This page was built for publication: An Intertemporal Capital Asset Pricing Model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4770167)
