This document has not been cited yet.

1. Barberis, N. (2000). Investing for the Long Run when Returns are Predictable. Journal of Finance, 55(1), 225264.

2. Bawa, V. S.; Brown, S., & Klein, R. W. (1979). Estimation Risk and Optimal Portfolio Choice.
   Paper not yet in RePEc: Add citation now
   
3. Brennan, M. J. & Xia, Y. (2004). Persistence, Predictability, and Portfolio Planning. Working paper, Anderson Graduate School of Management, UCLA.
   Paper not yet in RePEc: Add citation now
   

4. Brennan, M. J.; Schwartz, E. S., & Lagnado, R. (1997). Strategic Asset Allocation. Journal of Economic Dynamics and Control, 21, 13771403.

5. Campbell, J. Y. & Shiller, R. J. (1988b). Stock Prices, Earnings, and Expected Dividends.

6. Campbell, J. Y. & Viceira, L. M. (2001). Who Should Buy Long-Term Bonds?. American Economic Review, 91(1), 99127.

7. Campbell, J. Y. & Viceira, L. M. (2002). Strategic Asset Allocation. Oxford University Press.
   Paper not yet in RePEc: Add citation now
   

8. Campbell, J. Y.; Chacko, G.; Rodriguez, J., & Viceira, L. M. (2004). Strategic asset allocation in a continuous-time VAR model. Journal of Economic Dynamics and Control, 28, 2195 2214.

9. Campbell, J. Y.; Chan, Y. L., & Viceira, L. M. (2002). Appendix to a multivariate model of strategic asset allocation. Unpublished manuscript, Harvard University.

10. Campbell, J. Y.; Chan, Y. L., & Viceira, L. M. (2003). A multivariate model of strategic asset allocation. Journal of Financial Economics, 67, 4180.

11. Chacko, G. & Viceira, L. M. (1999). Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets. Working paper, Harvard University.

12. Dai, Q. & Singleton, K. J. (2000). Specification analysis of affine term structure models.

13. Dai, Q. & Singleton, K. J. (2002). Expectations puzzles, time-varying risk premia, and affine models of the term structure. Journal of Financial Economics, 63, 415442.

14. Detemple, J. (1986). Asset pricing in an economy with incomplete information. Journal of Finance, 41, 383392.

15. Dothan, M. D. & Feldman, D. (1986). Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy. Journal of Finance, 41(2), 369382.

16. Duffee, G. R. (2002). Term premia and interest rate forecasts in affine models. Journal of Finance, 57, 369443.

17. Duffie, J. D. & Kan, R. (1996). A Yield-Factor Model of Interest Rates. Mathematical Finance, 6, 379406.
    Paper not yet in RePEc: Add citation now
    

18. Gennotte, G. (1986). Optimal Portfolio Choice Under Incomplete Information. Journal of Finance, 41, 733749.

19. Hamilton, J. D. (1994). Time Series Analysis. Princeton University Press, Princeton, New Jersey.
    Paper not yet in RePEc: Add citation now
    
20. Harvey, A. C. (1989). Forecasting, structural time series models and the Kalman filter. Cambridge University Press.
    Paper not yet in RePEc: Add citation now
    

21. Journal of Finance, 43(3), 661676. Campbell, J. Y. & Viceira, L. M. (1999). Consumption and Portfolio Decisions when Expected Returns are Time-Varying. The Quarterly Journal of Economics, 114, 433495.

22. Karatzas, I. & Shreve, S. E. (1991). Brownian Motion and Stochastic Calculus. New York: Springer-Verlag, 2 edition.
    Paper not yet in RePEc: Add citation now
    

23. Kim, T. S. & Omberg, E. (1996). Dynamic Nonmyopic Portfolio Behavior. Review of Financial Studies, 9(1), 141161.

24. Klein, R. W. & Bawa, V. S. (1976). The Effect of Estimation Risk on Optimal Portfolio Choice. Journal of Financial Economics, 3, 215231.

25. Lipster, R. S. & Shiryaev, A. N. (2001). Statistics of Random Processes I & II. Springer-Verlag, Berlin.
    Paper not yet in RePEc: Add citation now
    
26. Liu, J. (1999). Portfolio Selection in Stochastic Environments. Working paper, Stanford University.
    Paper not yet in RePEc: Add citation now
    
27. Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7, 7791.
    Paper not yet in RePEc: Add citation now
    

28. Merton, R. C. (1969). Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case. Review of Economics and Statistics, 51, 247257.

29. Merton, R. C. (1971). Optimum Consumption and Portfolio Rules in a Continuous-Time Model. Journal of Economic Theory, 3, 373413.

30. Merton, R. C. (1973). An Intertemporal Capital Asset Pricing Model. Econometrica, 41, 867887.

31. North-Holland, Amsterdam. Brennan, M. J. (1998). The Role of Learning in Dynamic Portfolio Decisions. European Finance Review, 1, 295306.

32. Pennacchi, G. G. (1991). Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data. Review of Financial Studies, 4(1), 5386.

33. Review of Economics and Statistics, 51, 239246. Sangvinatsos, A. & Wachter, J. A. (2003). Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?. Working paper, Stern School of Business, New York University.

34. Rodriguez, J. F. (2002). Hedging Demands, Incomplete Markets, and Imperfect Information.
    Paper not yet in RePEc: Add citation now
    

35. Sørensen, C. (1999). Dynamic Asset Allocation and Fixed Income Management. Journal of Financial and Quantitative Analysis, 34(4), 513531.

36. Shiller, R. J. (2000). Irrational Exuberance. Princeton University Press.
    Paper not yet in RePEc: Add citation now
    

37. Wachter, J. A. (2002). Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets. Journal of Financial and Quantitative Analysis, 37(1), 6391.

38. White, H. (1980). A heteroscedasticity-consistent covariance estimator and a direct test for heteroscedasticity. Econometrica, 48, 817838.

39. Working paper, Sloan School of Managements, Massachusetts Institute of Technology. Samuelson, P. A. (1969). Lifetime Portfolio Selection by Dynamic Stochastic Programming.

40. WP 2000-5 Ken L. Bechmann and Johannes Raaballe: A Regulation of Bids for Dual Class Shares. Implication: Two Shares One Price.

41. WP 2001-1 Michael Møller, Claus Parum og Thomas Sørensen: Den ny pensionsafkastbeskatningslov.
    Paper not yet in RePEc: Add citation now
    
42. WP 2003-1 Bjarne Florentsen, Michael Møller and Niels Chr. Nielsen: Reimbursement of VAT on written-off Receivables.
    Paper not yet in RePEc: Add citation now
    

1. Perpetual learning and stock return predictability. (2013). Zhu, Xiaoneng.
   In: Economics Letters.
   RePEc:eee:ecolet:v:121:y:2013:i:1:p:19-22.

   Full description at Econpapers || Download paper

2. Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model. (2012). Pedersen, Thomas ; Engsted, Tom.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:19:y:2012:i:2:p:241-253.

   Full description at Econpapers || Download paper

3. Inflation hedging portfolios in different regimes. (2011). Signori, Ombretta ; Briere, Marie.
   In: BIS Papers chapters.
   RePEc:bis:bisbpc:58-08.

   Full description at Econpapers || Download paper

4. Numerical Solutions to Dynamic Portfolio Problems: The Case for Value Function Iteration using Taylor Approximation. (2009). Skoulakis, Georgios.
   In: Computational Economics.
   RePEc:kap:compec:v:33:y:2009:i:2:p:193-207.

   Full description at Econpapers || Download paper

5. Small caps in international equity portfolios: the effects of variance risk. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
   In: Working Papers.
   RePEc:fip:fedlwp:2005-075.

   Full description at Econpapers || Download paper

6. What Explains Household Stock Holdings?. (2006). Shum, Pauline ; Faig, Miquel.
   In: Working Papers.
   RePEc:tor:tecipa:tecipa-218.

   Full description at Econpapers || Download paper

7. Optimal Decentralized Investment Management. (2006). van Binsbergen, Jules ; koijen, ralph ; Ralph S. J. Koijen, ; Brandt, Michael W..
   In: NBER Working Papers.
   RePEc:nbr:nberwo:12144.

   Full description at Econpapers || Download paper

8. Dynamic asset allocation and latent variables. (2006). Sorensen, Carsten ; Trolle, Anders Bjerre.
   In: Working Papers.
   RePEc:hhs:cbsfin:2004_008.

   Full description at Econpapers || Download paper

9. Investing for the long-run in European real estate. (2006). Nicodano, Giovanna ; Guidolin, Massimo ; Fugazza, Carolina.
   In: Working Papers.
   RePEc:fip:fedlwp:2006-028.

   Full description at Econpapers || Download paper

10. Asset allocation under multivariate regime switching. (2006). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-002.

    Full description at Econpapers || Download paper

11. Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence. (2005). Wohar, Mark ; Rapach, David E..
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:329.

    Full description at Econpapers || Download paper

12. Learning Under Ambiguity. (2005). Schneider, Martin ; Epstein, Larry.
    In: RCER Working Papers.
    RePEc:roc:rocher:497.

    Full description at Econpapers || Download paper

13. The Term Structure of the Risk-Return Tradeoff. (2005). Viceira, Luis ; Campbell, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11119.

    Full description at Econpapers || Download paper

14. Mutual Fund Performance: Skill Or Luck?. (2005). O'Sullivan, Niall ; Cuthbertson, Keith ; Nitzsche, Dirk.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:4.

    Full description at Econpapers || Download paper

15. Solving General Equilibrium Models with Incomplete Markets and Many Assets. (2005). Hnatkovska, Viktoria ; Evans, Martin ; Martin D. D. Evans, .
    In: Working Papers.
    RePEc:geo:guwopa:gueconwpa~05-05-18.

    Full description at Econpapers || Download paper

16. Modelling the MIB30 implied volatility surface. Does market efficiency matter?. (2005). Guidolin, Massimo ; Cassesse, Gianluca.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-008.

    Full description at Econpapers || Download paper

17. Size and value anomalies under regime shifts. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-007.

    Full description at Econpapers || Download paper

18. Optimal portfolio choice under regime switching, skew and kurtosis preferences. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-006.

    Full description at Econpapers || Download paper

19. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-003.

    Full description at Econpapers || Download paper

20. Rational Inattention: A Solution to the Forward Discount Puzzle. (2005). van Wincoop, Eric ; Bacchetta, Philippe.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5261.

    Full description at Econpapers || Download paper

21. Explaining The Equity Risk Premium. (2005). Minford, A. Patrick ; Lungu, Laurian.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5017.

    Full description at Econpapers || Download paper

22. The Term Structure of the Risk-Return Tradeoff. (2005). Viceira, Luis ; Campbell, John.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4914.

    Full description at Econpapers || Download paper

23. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets. (2005). Viceira, Luis ; Chacko, George.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4913.

    Full description at Econpapers || Download paper

24. Optimal Portfolio Management for Individual Pension Plans. (2005). Gollier, Christian.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1394.

    Full description at Econpapers || Download paper

25. Optimal Convergence Trading. (2004). Kargin, Vladislav.
    In: Finance.
    RePEc:wpa:wuwpfi:0401003.

    Full description at Econpapers || Download paper

26. Labor Income Dynamics at Business-Cycle Frequencies: Implications for Portfolio Choice. (2004). Tan, Sinan ; Lynch, Anthony W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11010.

    Full description at Econpapers || Download paper

27. Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10996.

    Full description at Econpapers || Download paper

28. Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs. (2004). Tan, Sinan ; Lynch, Anthony W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10994.

    Full description at Econpapers || Download paper

29. A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability. (2004). Santa-Clara, Pedro ; Goyal, Amit ; Brandt, Michael W. ; Storud, Jonathan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10934.

    Full description at Econpapers || Download paper

30. One for the Gain, Three for the Loss. (2004). Anderson, Anders E. S., .
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0020.

    Full description at Econpapers || Download paper

31. Optimum Consumption and Portfolio Allocations under Incomplete Information. (2004). Roche, Herve.
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:79.

    Full description at Econpapers || Download paper

32. Uncertainty in Second Moments: Implications for Portfolio Allocation. (2004). Cho, David Daewhan.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:433.

    Full description at Econpapers || Download paper

33. Uncertainty in Second Moments: Implications for Portfolio Allocation. (2004). Cho, David Daewhan.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:431.

    Full description at Econpapers || Download paper

34. Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors. (2003). Wachter, Jessica ; Sangvinatsos, Antonios.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10086.

    Full description at Econpapers || Download paper

35. An empirical analysis of stock and bond market liquidity. (2003). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun.
    In: Staff Reports.
    RePEc:fip:fednsr:164.

    Full description at Econpapers || Download paper

36. Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes. (2003). Rindisbacher, Marcel ; Garcia, René ; Detemple, Jerome.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-11.

    Full description at Econpapers || Download paper

37. Predicting the Equity Premium With Dividend Ratios. (2002). welch, ivo ; Goyal, Amit.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8788.

    Full description at Econpapers || Download paper

38. Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon. (2002). Nilsson, Birger ; Graflund, Andreas .
    In: Working Papers.
    RePEc:hhs:lunewp:2002_008.

    Full description at Econpapers || Download paper

39. Foreign Currency for Long-Term Investors. (2002). Viceira, Luis ; Campbell, John ; White, Josh S..
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3463.

    Full description at Econpapers || Download paper

40. The National Pensions Reserve Fund: Pitfalls and Opportunities. (2001). Lane, Philip.
    In: Trinity Economics Papers.
    RePEc:tcd:tcduee:20017.

    Full description at Econpapers || Download paper

41. Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield. (2001). Shanken, Jay ; Tamayo, Ane.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8666.

    Full description at Econpapers || Download paper

42. Common determinants of bond and stock market liquidity: the impact of financial crises, monetary policy, and mutual fund flows. (2001). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun.
    In: Staff Reports.
    RePEc:fip:fednsr:141.

    Full description at Econpapers || Download paper

43. Portfolio allocation in transition economies. (2001). Rockinger, Michael ; Jondeau, Eric.
    In: HEC Research Papers Series.
    RePEc:ebg:heccah:0740.

    Full description at Econpapers || Download paper

44. A Multivariate Model of Strategic Asset Allocation. (2001). Viceira, Luis ; Campbell, John ; Chan, Yeung Lewis .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3070.

    Full description at Econpapers || Download paper

45. Who Should Buy Long-Term Bonds?. (2001). Viceira, Luis ; Campbell, John.
    In: American Economic Review.
    RePEc:aea:aecrev:v:91:y:2001:i:1:p:99-127.

    Full description at Econpapers || Download paper

46. Designing Social Security – A Portfolio Choice Approach. (2000). Matsen, Egil ; Thogersen, ystein .
    In: Working Paper Series.
    RePEc:nst:samfok:1102.

    Full description at Econpapers || Download paper

47. Where Does State Street Lead? A First Look at Finance Patents, 1971-2000. (2000). Lerner, Josh.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7918.

    Full description at Econpapers || Download paper

48. Why Stocks May Disappoint. (2000). LIU, JUN ; Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7783.

    Full description at Econpapers || Download paper

49. Daily exchange rate behaviour and hedging of currency risk. (2000). van Dijk, Herman ; Mahieu, Ronald ; Bos, Charles.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:15:y:2000:i:6:p:671-696.

    Full description at Econpapers || Download paper

50. Econometric applications of maxmin expected utility. (2000). Chamberlain, Gary.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:15:y:2000:i:6:p:625-644.

    Full description at Econpapers || Download paper

Report date: 2025-09-30 06:44:11 || Missing content? Let us know