Optimal household portfolio behavior
Author
Abstract
Suggested Citation
DOI: 10.1016/S0378-4754(97)00040-2
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-1286, September.
- Aiyoshi, Eitaro & Maki, Atsushi, 1992. "An application of optimal control analysis to the lifecycle model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 33(5), pages 533-538.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bansal, Ravi & Kiku, Dana & Yaron, Amir, 2016.
"Risks for the long run: Estimation with time aggregation,"
Journal of Monetary Economics, Elsevier, vol. 82(C), pages 52-69.
- Ravi Bansal & Dana Kiku & Amir Yaron, 2012. "Risks For the Long Run: Estimation with Time Aggregation," NBER Working Papers 18305, National Bureau of Economic Research, Inc.
- Smoluk, H. J. & Neveu, Raymond P., 2002. "Consumption and asset prices: An analysis across income groups," Review of Financial Economics, Elsevier, vol. 11(1), pages 47-62.
- Isaiah Andrews & Anna Mikusheva, 2016. "Conditional Inference With a Functional Nuisance Parameter," Econometrica, Econometric Society, vol. 84, pages 1571-1612, July.
- Andros Gregoriou & Christos Ioannidis, 2007. "Generalized method of moments and present value tests of the consumption-capital asset pricing model under transactions costs: evidence from the UK stock market," Empirical Economics, Springer, vol. 32(1), pages 19-39, April.
- Hansen, Lars Peter & Heaton, John & Luttmer, Erzo G J, 1995.
"Econometric Evaluation of Asset Pricing Models,"
The Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 237-274.
- Lars Peter Hansen & John Heaton & Erzo G.J. Luttmer, 1993. "Econometric Evaluation of Asset Pricing Models," NBER Technical Working Papers 0145, National Bureau of Economic Research, Inc.
- Pizer, William A., 1999. "The optimal choice of climate change policy in the presence of uncertainty," Resource and Energy Economics, Elsevier, vol. 21(3-4), pages 255-287, August.
- Neely, Christopher J. & Weller, Paul, 2000.
"Predictability in International Asset Returns: A Reexamination,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(4), pages 601-620, December.
- Christopher J. Neely & Paul A. Weller, 1999. "Predictability in international asset returns: a reexamination," Working Papers 1997-010, Federal Reserve Bank of St. Louis.
- Oleksandr Shcherbakov, 2022.
"Firm‐level investment under imperfect capital markets in Ukraine,"
Journal of Economics & Management Strategy, Wiley Blackwell, vol. 31(1), pages 227-255, February.
- Oleksandr Shcherbakov, 2019. "Firm-level Investment Under Imperfect Capital Markets in Ukraine," Staff Working Papers 19-14, Bank of Canada.
- Carl E. Walsh, 1987. "Monetary targeting and inflation: 1976-1984," Economic Review, Federal Reserve Bank of San Francisco, issue Win, pages 5-16.
- Botzen, W.J. Wouter & Marey, Philip S., 2010. "Did the ECB respond to the stock market before the crisis?," Journal of Policy Modeling, Elsevier, vol. 32(3), pages 303-322, May.
- Ravi Bansal, 2007.
"Long-run risks and financial markets,"
Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 283-300.
- Ravi Bansal, 2007. "Long-Run Risks and Financial Markets," NBER Working Papers 13196, National Bureau of Economic Research, Inc.
- Karp, Larry & Perloff, Jeffrey M, 1988.
"Dynamic Oligopoly: Estimation and Tests of Market Structure,"
Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series
qt7fk1119n, Department of Agricultural & Resource Economics, UC Berkeley.
- Karp, Larry S. & Perloff, Jeffrey M., 1988. "Dynamic oligopoly: estimation and tests of market structure," CUDARE Working Papers 6105, University of California, Berkeley, Department of Agricultural and Resource Economics.
- Palacios-Huerta, Ignacio, 2001.
"The human capital of stockholders and the international diversification puzzle,"
Journal of International Economics, Elsevier, vol. 54(2), pages 309-331, August.
- Ignacio Palacios-Huerta, 2001. "The Human Capital of Stockholders and the International Diversification Puzzle," Working Papers 2001-13, Brown University, Department of Economics.
- Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2010.
"Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model,"
Annals of Economics and Statistics, GENES, issue 99-100, pages 395-427.
- Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers 509, University of Rochester - Center for Economic Research (RCER).
- Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2010. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," Post-Print hal-00685810, HAL.
- Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2009. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," CIRANO Working Papers 2009s-18, CIRANO.
- Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
- Sule Alan & Orazio Attanasio & Martin Browning, 2009.
"Estimating Euler equations with noisy data: two exact GMM estimators,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(2), pages 309-324, March.
- Sule Alan & Orazio Attanasio & Martin Browning, 2005. "Estimating Euler Equations with Noisy Data: Two Exact GMM Estimators," CAM Working Papers 2005-10, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- Martin Browning & Sule Alan & Orazio Attanasio, 2006. "Estimating Euler Equations with Noisy Data: Two Exact GMM Estimators," Economics Series Working Papers 283, University of Oxford, Department of Economics.
- Matthijs Lof, 2014.
"GMM Estimation with Non-causal Instruments under Rational Expectations,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(2), pages 279-286, April.
- Lof, Matthijs, 2011. "GMM estimation with noncausal instruments under rational expectations," MPRA Paper 35536, University Library of Munich, Germany.
- Thomas D. Tallarini, Jr. & Harold H. Zhang, 2005.
"External Habit and the Cyclicality of Expected Stock Returns,"
The Journal of Business, University of Chicago Press, vol. 78(3), pages 1023-1048, May.
- Thomas Tallarini & Harold Zhang, "undated". "External Habit and the Cyclicality of Expected Stock Returns," GSIA Working Papers 1997-26, Carnegie Mellon University, Tepper School of Business.
- Thomas D. Tallarini & Harold H. Zhang, 2005. "External habit and the cyclicality of expected stock returns," Finance and Economics Discussion Series 2005-27, Board of Governors of the Federal Reserve System (U.S.).
- Flood, Robert P & Hodrick, Robert J, 1986.
"Asset Price Volatility, Bubbles, and Process Switching,"
Journal of Finance, American Finance Association, vol. 41(4), pages 831-842, September.
- Robert P. Flood & Robert J. Hodrick, 1986. "Asset Price Volatility, Bubbles, and Process Switching," NBER Working Papers 1867, National Bureau of Economic Research, Inc.
- Campbell, John Y. & Clarida, Richard H., 1987.
"The term structure of euromarket interest rates : An empirical investigation,"
Journal of Monetary Economics, Elsevier, vol. 19(1), pages 25-44, January.
- John Y. Campbell & Richard H. Clarida, 1985. "The Term Structure of Euromarket Interest Rates: An Empirical Investigation," Cowles Foundation Discussion Papers 772R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
- John Y. Campbell & Richard H. Clarida, 1986. "The Term Structure of Euromarket Interest Rates: An Empirical Investigation," NBER Working Papers 1946, National Bureau of Economic Research, Inc.
- Campbell, John Y. & Clarida, Richard H., 1987. "The Term Structure of Euromarket Interest Rates: An Empirical Investigation," Scholarly Articles 3353759, Harvard University Department of Economics.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:matcom:v:43:y:1997:i:3:p:519-525. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.