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Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies
Distortion Risk Measures Under Skew Normal Settings
Positive alphas and a generalized multiple-factor asset pricing model
Term structure of discount rates for firms in the insurance industry
The instantaneous capital market line
Capital mobility and asset pricing
Optimal contribution rate of PAYGO pension
On the Transmission of Memory in Garch‐in‐Mean Models
Risks and risk premia in the US Treasury market
Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
Irreversible exit decisions under mean-reverting uncertainty
An approximate moving boundary method for American option pricing
Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives
OPTIMAL INVESTMENT STRATEGY VIA INTERVAL ARITHMETIC
Sequentiel testing for the stability of high-frequency portfolio betas
The role of index bonds in universal currency hedging
Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
Long-run risk and hidden growth persistence
A theoretical foundation of ambiguity measurement
Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model
On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis
Asset and commodity prices with multi-attribute durable goods
Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
Efficient gradualism in intertemporal portfolios.
The CAPM in thin experimental financial markets.
Asset Pricing in Multiperiod Securities Markets
Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good
Does knowing the volatility states affect the market risk premium?
Empirical evidence on Student-t log-returns of diversified world stock indices
Data mining and knowledge discovery via statistical mechanics in nonlinear stochastic systems
In which financial markets do mutual fund theorems hold true?
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging
New evidence on risk factors, characteristics and the cross-sectional variation of Japanese stock returns
Asset pricing for general processes
Conditional investment policy under uncertainty and irreversibility
On the shape of risk aversion and asset allocation
Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)
Common nonstationary components of asset prices
Bayesian, MLE, and GMM Estimation of a Spot Rate Model
Incomplete information equilibria: separation theorems and other myths
Interest rate options valuation under incomplete information
Perpetual learning and stock return predictability
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
Risk minimization in multi-factor portfolios: what is the best strategy?
Optimal investment decisions when time-horizon is uncertain
A capital asset pricing model under stable Paretian distributions in a pure exchange economy
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
Nonlinearity and Endogeneity in Macro-Asset Pricing
Longevity hedge effectiveness using socioeconomic indices
Long run risk sensitive portfolio with general factors
Evaluating latent and observed factors in macroeconomics and finance
Finite project life and uncertainty effects on investment
Pricing long-lived securities in dynamic endowment economies
Portfolio management with targeted constant market volatility
Option pricing methods: an overview
Optimal portfolios when variances and covariances can jump
Optimal portfolio choice for unobservable and regime-switching mean returns
The effect of mean reversion on investment under uncertainty
The effect of mean reversion on entry and exit decisions under uncertainty
Dynamic portfolio choice and asset pricing with narrow framing and probability weighting
A reinforcement learning algorithm for trading commodities
Asset market equilibrium with liquidity risk
The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method
Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
Optimization of portfolio compositions for small and medium price-taking traders
Market price of risk estimation: Does distribution matter?
How to invest optimally in corporate bonds: a reduced-form approach
Intertemporal risk-return tradeoff in the short-run
A Universal Framework for Pricing Financial and Insurance Risks
A structure for general and specific market risk
Horizon effect in the term structure of long-run risk-return trade-offs
Robustness of stable volatility strategies
Mean-variance analysis and the modified market portfolio
Dynamic asset allocation with mean variance preferences and a solvency constraint
On user costs of risky monetary assets
Time varying risk aversion and its connectedness: evidence from cryptocurrencies
Cross-section without factors: a string model for expected returns
Estimating the diffusion coefficient function for a diversified world stock index
The asset allocation puzzle is still a puzzle
The mean-variance investment problem in a constrained financial market
Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
Seasonality and idiosyncratic risk in mutual fund performance
Robust option pricing
Risky asset allocation and consumption rule in the presence of background risk and insurance markets
UNCERTAINTY AVERSION, ROBUST CONTROL AND ASSET HOLDINGS WITH A STOCHASTIC INVESTMENT OPPORTUNITY SET
A lattice approach for pricing of multivariate contingent claims
Pricing equity-bond covariance risk: between flight-to-quality and fear-of-missing-out
Household utility maximization with life insurance: a CES utility case
Revisiting the intertemporal risk-return relation: asymmetrical effect of unexpected volatility shocks
Mutual funds performance appraisal using stochastic multicriteria acceptability analysis
Social contagion and the survival of diverse investment styles
Option Pricing Under Incompleteness and Stochastic Volatility
Multi-period portfolio optimization with linear control policies
An intertemporal asset pricing model with stochastic consumption and investment opportunities
A memory-based method to select the number of relevant components in principal component analysis
Asymptotics for parametric GARCH-in-mean models

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