Time preference and capital asset pricing models
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Cited by:
- Mauro Andriotto & Emanuele Teti, 2014. "Beyond CAPM: an innovative factor model to optimize the risk and return trade-off," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 15(4), pages 615-630, September.
- Robert C. Merton, 1993.
"Optimal Investment Strategies for University Endowment Funds,"
NBER Chapters, in: Studies of Supply and Demand in Higher Education, pages 211-242,
National Bureau of Economic Research, Inc.
- Robert C. Merton, 1991. "Optimal Investment Strategies for University Endowment Funds," NBER Working Papers 3820, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice, 1990.
"Intertemporal dependence, impatience, and dynamics,"
Journal of Monetary Economics, Elsevier, vol. 26(1), pages 45-75, August.
- Maurice Obstfeld, 1989. "Intertemporal Dependence, Impatience, and Dynamics," NBER Working Papers 3028, National Bureau of Economic Research, Inc.
- Alberto Giovannini & Philippe Weil, 1989. "Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model," NBER Working Papers 2824, National Bureau of Economic Research, Inc.
- René Garcia & Richard Luger, 2012.
"Risk aversion, intertemporal substitution, and the term structure of interest rates,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 1013-1036, September.
- René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers 2009s-20, CIRANO.
- Muhammad Islam, 1998. "Intertemporally Dependent Preferences and the Welfare Cost of Capital Income Taxation," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 5(4), pages 489-498, October.
- Jorion, Philippe & Giovannini, Alberto, 1993.
"Time-series tests of a non-expected-utility model of asset pricing,"
European Economic Review, Elsevier, vol. 37(5), pages 1083-1100, June.
- Alberto Giovannini & Philippe Jorion, 1989. "Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing," NBER Working Papers 3195, National Bureau of Economic Research, Inc.
- Min Dai & Yuchao Dong & Yanwei Jia & Xun Yu Zhou, 2023. "Learning Merton's Strategies in an Incomplete Market: Recursive Entropy Regularization and Biased Gaussian Exploration," Papers 2312.11797, arXiv.org.
- Ravi Jagannathan & Srikant Marakani, 2015.
"Price-Dividend Ratio Factor Proxies for Long-Run Risks,"
The Review of Asset Pricing Studies, Society for Financial Studies, vol. 5(1), pages 1-47.
- Ravi Jagannathan & Srikant Marakani, 2011. "Price Dividend Ratio Factors : Proxies for Long Run Risk," NBER Working Papers 17484, National Bureau of Economic Research, Inc.
- Izadi Hamid Reza, 2023. "The Role of Internalization of Discount Factor on Households’ Behavior Using DSGE Model," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 33(1), pages 74-87, March.
- Barroso, Pedro & Boons, Martijn & Karehnke, Paul, 2021. "Time-varying state variable risk premia in the ICAPM," Journal of Financial Economics, Elsevier, vol. 139(2), pages 428-451.
- Bodie, Zvi & Merton, Robert C. & Samuelson, William F., 1992.
"Labor supply flexibility and portfolio choice in a life cycle model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 427-449.
- Zvi Bodie & Robert C. Merton & William F. Samuelson, 1992. "Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model," NBER Working Papers 3954, National Bureau of Economic Research, Inc.
- Wang, Neng, 2007. "An equilibrium model of wealth distribution," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1882-1904, October.
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