An Intertemporal Capital Asset Pricing Model

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Multi-period portfolio optimization with linear control policies
The asset allocation puzzle is still a puzzle
Numerical solutions to dynamic portfolio problems: The case for value function iteration using Taylor approximation
Maximizing equity market sector predictability in a Bayesian time-varying parameter model
The effect of uncertainty on investment timing in a real options model
Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors
Investor heterogeneity, asset pricing and volatility dynamics
Can properly discounted projects follow geometric Brownian motion?
Risk measurement in semimartingale models with multiple consumption goods
Common nonstationary components of asset prices
Option pricing methods: an overview
Rational expectations equilibrium with conditioning on past prices: A mean-variance example
Capital accumulation in a stochastic decentralized economy
Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
ARCH modeling in finance. A review of the theory and empirical evidence
Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
Optimal consumption and portfolio rules with intertemporally dependent utility of consumption
Portfolio selection with transactions costs
A lattice approach for pricing of multivariate contingent claims
On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis
The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean
MIDAS Regressions: Further Results and New Directions
On incorporating business risk into continuous review inventory models
Labor income, borrowing constraints, and equilibrium asset prices
Heterogeneous beliefs, wealth accumulation, and asset price dynamics
The Lagrange method of optimization with applications to portfolio and investment decisions
Asset and commodity prices with multi-attribute durable goods
Heterogeneous information arrival and option pricing
Do CAPM results hold in a dynamic economy? A numerical analysis
Multi-period information markets
Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
A structure for general and specific market risk
Risk sensitive asset allocation
Statistical mechanics of financial markets: exponential modifications to Black-Scholes.
Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
The CAPM in thin experimental financial markets.
Efficient gradualism in intertemporal portfolios.
On the investment-uncertainty relationship in a real options model
Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)
Risk minimization in multi-factor portfolios: what is the best strategy?
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
Traders' networks of interactions and structural properties of financial markets: an agent-based approach
Asset market equilibrium with liquidity risk
Asymptotic distribution-free tests for semiparametric regressions with dependent data
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
Horizon effect in the term structure of long-run risk-return trade-offs
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Pricing and simulating catastrophe risk bonds in a Markov-dependent environment
Modeling systemic risk with Markov switching graphical SUR models
Stocks for the log-run and constant relative risk aversion preferences
The time-varying GARCH-in-mean model
Parameter estimation in stochastic scenario generation systems
Reconstructing an economic space from a market metric
Asset equilibria in \(L^ p\) spaces with complete markets: A duality approach
Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading
Why is it so difficult to uncover the risk-return tradeoff in stock returns?
Risk measures and behaviors for bonds under stochastic interest rate models
Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
Characteristics, covariances, and structural breaks
Price volatility and risk with non-separability of preferences
Infinite horizon CAPM equilibrium
Long-run risk and hidden growth persistence
Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
Household utility maximization with life insurance: a CES utility case
Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach
Beta-anomaly: evidence from the Indian equity market
Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns
An inter-temporal CAPM based on first order stochastic dominance
Static and dynamic factors in an information-based multi-asset artificial stock market
Information and dynamic trading with the Gambler's fallacy
Building multi-scale portfolios and efficient market frontiers using fractal regressions
A theoretical foundation of ambiguity measurement
The stochastic shortest path problem: a polyhedral combinatorics perspective
Term structure of discount rates for firms in the insurance industry
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
On the market price of risk
Optimal control of the SIR model in the presence of transmission and treatment uncertainty
Pricing equity-bond covariance risk: between flight-to-quality and fear-of-missing-out
Nonmyopic optimal portfolios in viable markets
In which financial markets do mutual fund theorems hold true?
An intertemporal capital asset pricing model under incomplete information and short sales
Mean-variance analysis and the modified market portfolio
A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX
F for finance. From classical financial mathematics to portfolio theory and new financial products
Consumption in incomplete markets
Empirical evidence on Student-t log-returns of diversified world stock indices
The long-run behavior of consumption and wealth dynamics in complete financial market with heterogeneous investors
The risk return relationship: evidence from index returns and realised variances
Asset-pricing anomalies at the firm level
Purchasing power parity between the UK and Germany: the euro era
An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio
Risky asset allocation and consumption rule in the presence of background risk and insurance markets
Perpetual learning and stock return predictability

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