A multivariate model of strategic asset allocation
Data up to Jan 2025
Total Citations Per Year
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