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Abstract

References (76)

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

1993 • 8,018 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

The Econometrics of Financial Markets

2012 • 6,595 citations

Optimum consumption and portfolio rules in a continuous-time model

1971 • 6,065 citations

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

1969 • 5,148 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

1989 • 4,242 citations

Portfolio Selection

1952 • 4,159 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

1988 • 3,689 citations

Aspects of Multivariate Statistical Theory

1984 • 3,514 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

Asset returns and inflation

1977 • 2,770 citations

Stock returns and the term structure

1987 • 2,322 citations

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

1993 • 2,215 citations

Continuous-Time Finance.

1991 • 1,946 citations

LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING

1975 • 1,863 citations

Yield Spreads and Interest Rate Movements: A Bird's Eye View

1991 • 1,822 citations

Understanding Risk and Return

1996 • 1,818 citations

A Variance Decomposition for Stock Returns

1991 • 1,817 citations

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis

1991 • 1,765 citations

The Valuation of Uncertain Income Streams and the Pricing of Options

1976 • 1,727 citations

Lifetime Portfolio Selection By Dynamic Stochastic Programming

1969 • 1,665 citations

Predictive regressions

1999 • 1,589 citations

Consumption and Portfolio Choice over the Life Cycle

2005 • 1,465 citations

Investing for the Long Run when Returns Are Predictable

2000 • 1,395 citations

Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

1992 • 1,304 citations

The World Price of Covariance Risk

1991 • 1,115 citations

Consumption and Portfolio Decisions when Expected Returns are Time Varying

1999 • 1,090 citations

Strategic Asset Allocation: Portfolio Choice for Long-Term Investors

2002 • 999 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

Strategic asset allocation

1997 • 784 citations

Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income

2001 • 774 citations

The real term structure and consumption growth

1988 • 690 citations

The information in the term structure

1984 • 689 citations

Who Should Buy Long-Term Bonds?

2001 • 651 citations

Predictable Stock Returns: The Role of Small Sample Bias

1993 • 639 citations

Stocks for the Long Run

1994 • 636 citations

The Determinants of the Variability of Stock Market Prices

1981 • 624 citations

Dividend yields and expected stock returns: alternative procedures for inference and measurement

1992 • 607 citations

Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets

2002 • 556 citations

Transaction costs and predictability: some utility cost calculations

1999 • 525 citations

Dynamic Nonmyopic Portfolio Behavior

1996 • 496 citations

INNOVATIONS IN INTEREST RATE POLICY

2016 • 494 citations

Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation

2001 • 475 citations

Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates

1983 • 447 citations

Asset prices, consumption, and the business cycle

1998 • 444 citations

Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach

1999 • 436 citations

Variable Selection for Portfolio Choice

2001 • 436 citations

Dynamic Asset Allocation under Inflation

2002 • 435 citations

The Role of Learning in Dynamic Portfolio Decisions *

1998 • 433 citations

On biases in tests of the expectations hypothesis of the term structure of interest rates

1997 • 412 citations

Testing the Predictive Power of Dividend Yields

1993 • 404 citations

Worldwide asset and liability modeling

1998 • 395 citations

Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates

1983 • 391 citations

The World Price of Covariance Risk

1991 • 344 citations

Strategic Asset Allocation: Portfolio Choice for Long‐Term Investors.

2003 • 336 citations

Chapter 19 Asset prices, consumption, and the business cycle

1999 • 308 citations

Optimal Consumption and Portfolio Selection with Stochastic Differential Utility

1999 • 296 citations

Optimal Consumption and Investment with Capital Gains Taxes

2001 • 260 citations

THE STRONG CASE FOR THE GENERALIZED LOGARITHMIC UTILITY MODEL AS THE PREMIER MODEL OF FINANCIAL MARKETS

1976 • 235 citations

Portfolio choice and equity characteristics: characterizing the hedging demands induced by return predictability

2001 • 230 citations

The Strong Case for the Generalized Logarithmic Utility Model as the Premier Model of Financial Markets

1976 • 196 citations

Predictable Stock Returns: The Role of Small Sample Bias

1993 • 148 citations

Risk aversion and allocation to long-term bonds

2003 • 143 citations

A Consumption-Oriented Theory of the Demand for Financial Assets and the Term Structure of Interest Rates

1970 • 122 citations

A Scorecard for Indexed Government Debt

1996 • 110 citations

Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model

1989 • 98 citations

Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor

2001 • 86 citations

Data Appendix for "Asset Prices, Consumption, and the Business Cycle"

1999 • 75 citations

The Econometrics of Financial Markets

1998 • 65 citations

Testing the Predictive Power of Dividend Yields

1993 • 60 citations

A comparison of numerical and analytic approximate solutions to an intertemporal consumption choice problem

1997 • 59 citations

Optimal portfolio policies under time-dependent returns

1992 • 19 citations

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