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Citations for "Investing for the Long Run when Returns Are Predictable" by Nicholas Barberis
For a complete description of this item, click here .
Cited by (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.): Bec, Frédérique & Gollier, Christian, 2006.
"Assets Returns Volatility and Investment Horizon: The French Case ,"
IDEI Working Papers
467, Institut d'Économie Industrielle (IDEI), Toulouse, revised 30 Nov 2008.
[Downloadable!]
Other versions: Mark E. Wohar & David E. Rapach, 2005.
"Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence ,"
Computing in Economics and Finance 2005
329, Society for Computational Economics.
[Downloadable!]
Angelos Kanas, 2009.
"The relation between the equity risk premium and the bond maturity premium in the UK: 1900–2006 ,"
Journal of Economics and Finance ,
Springer, vol. 33(2), pages 111-127, April.
[Downloadable!] (restricted)
Graflund, Andreas & Nilsson, Birger, 2002.
"Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon ,"
Working Papers
2002:8, Lund University, Department of Economics.
Anthony W. Lynch & Sinan Tan, 2004.
"Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs ,"
NBER Working Papers
10994, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2001.
"Daily Exchange Rate Behaviour and Hedging of Currency Risk ,"
Tinbergen Institute Discussion Papers
01-017/4, Tinbergen Institute.
[Downloadable!]
Other versions:
Bos, C.S. & Mahieu, R.J. & van Dijk, H.K., 1999.
"Daily Exchange Rate Behaviour and Hedging of Currency Risk ,"
Papers
9936/a, Erasmus University of Rotterdam - Econometric Institute.
Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 1999.
"Daily Exchange Rate Behaviour and Hedging of Currency Risk ,"
Tinbergen Institute Discussion Papers
99-078/4, Tinbergen Institute.
[Downloadable!] C.S. Bos & R.J. Mahieu & H.K. Van Dijk, 2000.
"Daily exchange rate behaviour and hedging of currency risk ,"
Econometric Institute Report
201, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!] C.S. Bos & R.J. Mahieu & H.K. van Dijk, 1999.
"Daily exchange rate behaviour and hedging of currency risk ,"
Econometric Institute Report
164, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!] Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2000.
"Daily Exchange Rate Behaviour and Hedging of Currency Risk ,"
Econometric Society World Congress 2000 Contributed Papers
0504, Econometric Society.
[Downloadable!] Bos, C.S. & Mahieu, R.J. & Dijk, H.K. van, 2000.
"Daily exchange rate behaviour and hedging of currency risk ,"
Econometric Institute Report
EI 2000-25/A Revision_Dat, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!] Bos, C.S. & Mahieu, R.J. & Dijk, H.K. van, 1999.
"Daily exchange rate behaviour and hedging of currency risk ,"
Econometric Institute Report
EI 9936/A Revision_Date: , Erasmus University Rotterdam, Econometric Institute.
[Downloadable!] Charles S. Bos & Ronald J. Mahieu & Herman K. Van Dijk, 2000.
"Daily exchange rate behaviour and hedging of currency risk ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 15(6), pages 671-696.
[Downloadable!] Jurek, Jakub W & Viceira, Luis M, 2006.
"Optimal Value and Growth Tilts in Long-Horizon Portfolios ,"
CEPR Discussion Papers
5773, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Chacko, George & Viceira, Luis M, 2005.
"Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets ,"
CEPR Discussion Papers
4913, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:
George CHACKO & Luis M. VICEIRA, 1999.
"Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets ,"
FAME Research Paper Series
rp11, International Center for Financial Asset Management and Engineering.
[Downloadable!] George Chacko & Luis M. Viceira, 1999.
"Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets ,"
NBER Working Papers
7377, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) George Chacko & Luis M. Viceira, 2005.
"Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 18(4), pages 1369-1402.
[Downloadable!] (restricted) Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004.
"A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability ,"
NBER Working Papers
10934, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Lothar Essig & Anette Reil-Held, 2003.
"Chancen und Risiken der "Riester-Renter" ,"
MEA discussion paper series
03035, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim.
[Downloadable!]
Gollier, Christian, 2005.
"Understanding Saving and Portfolio Choices with Predictable Changes in Assets Returns ,"
IDEI Working Papers
392, Institut d'Économie Industrielle (IDEI), Toulouse.
[Downloadable!]
Other versions:
Gollier, Christian, 2007.
"Understanding Saving and Portfolio Choices with Predictable Changes in Assets Returns ,"
IDEI Working Papers
430, Institut d'Économie Industrielle (IDEI), Toulouse.
[Downloadable!] Gollier, Christian, 2008.
"Understanding saving and portfolio choices with predictable changes in assets returns ,"
Journal of Mathematical Economics ,
Elsevier, vol. 44(5-6), pages 445-458, April.
[Downloadable!] (restricted) Nicola Carcano, 2007.
"Country and currency diversification of bond investments: do they really make sense for Swiss investors? ,"
Financial Markets and Portfolio Management ,
Springer, vol. 21(1), pages 95-120, March.
[Downloadable!] (restricted)
Alexandros Kostakis, 2007.
"Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors ,"
Discussion Papers
07/07, Department of Economics, University of York.
[Downloadable!]
John Y. Campbell & Luis Viceira, 2005.
"The Term Structure of the Risk-Return Tradeoff ,"
NBER Working Papers
11119, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Philippe Bacchetta & Eric van Wincoop, 2006.
"Incomplete information processing: a solution to the forward discount puzzle ,"
Working Paper Series
2006-35, Federal Reserve Bank of San Francisco.
[Downloadable!]
Other versions: John Y. Campbell & Luis M. Viceira & Joshua S. White, 2002.
"Foreign Currency for Long-Term Investors ,"
NBER Working Papers
9075, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Campbell, John Y & Viceira, Luis M & White, Josh S., 2002.
"Foreign Currency for Long-Term Investors ,"
CEPR Discussion Papers
3463, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) John Y. Campbell & Luis M. Viceira & Joshua S. White, 2003.
"Foreign Currency for Long-Term Investors ,"
Economic Journal ,
Royal Economic Society, vol. 113(486), pages C1-C25, March.
[Downloadable!] (restricted) Lorenzo Garlappi & Georgios Skoulakis, 2009.
"Numerical Solutions to Dynamic Portfolio Problems: The Case for Value Function Iteration using Taylor Approximation ,"
Computational Economics ,
Springer, vol. 33(2), pages 193-207, March.
[Downloadable!] (restricted)
Lubos Pastor & Robert F. Stambaugh, 2009.
"Are Stocks Really Less Volatile in the Long Run? ,"
NBER Working Papers
14757, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Jules Binsbergen & Michael Brandt, 2007.
"Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function? ,"
Computational Economics ,
Springer, vol. 29(3), pages 355-367, May.
[Downloadable!] (restricted)
David Rey, 2005.
"Market Timing And Model Uncertainty: An Exploratory Study For The Swiss Stock Market ,"
Financial Markets and Portfolio Management ,
Springer, vol. 19(3), pages 239-260, October.
[Downloadable!] (restricted)
Massimo Guidolin & Giovanna Nicodano, 2009.
"Small caps in international equity portfolios: the effects of variance risk ,"
Annals of Finance ,
Springer, vol. 5(1), pages 15-48, January.
[Downloadable!] (restricted)
Other versions: Basak, Suleyman & Chabakauri, Georgy, 2009.
"Dynamic Mean-Variance Asset Allocation ,"
CEPR Discussion Papers
7256, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Massimo Guidolin & Allan Timmerman, 2005.
"An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns ,"
Working Papers
2005-003, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions: Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009.
"Time and risk diversification in real estate investments: assessing the ex post economic value ,"
Working Papers
2009-001, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions: Alain Abou & Georges Prat, 1986.
"Ex-ante risk premia in the US stock market: analysing experts' behaviour at the individual level ,"
Post-Print
halshs-00172883_v1, HAL.
[Downloadable!]
Aiolfi, Marco & Favero, Carlo A, 2003.
"Model Uncertainty, Thick Modelling and the Predictability of Stock Returns ,"
CEPR Discussion Papers
3997, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Miguel A. Ferreira & Pedro Santa-Clara, 2008.
"Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole ,"
NBER Working Papers
14571, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Yarema Okhrin & Wolfgang Schmid, 2007.
"Comparison of different estimation techniques for portfolio selection ,"
AStA Advances in Statistical Analysis ,
Springer, vol. 91(2), pages 109-127, August.
[Downloadable!] (restricted)
Missaka Warusawitharana & Jessica A. Wachter, 2009.
"What is the chance that the equity premium varies over time? evidence from predictive regressions ,"
Finance and Economics Discussion Series
2009-26, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Thomas Q. Pedersen, 2008.
"Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution ,"
CREATES Research Papers
2008-60, School of Economics and Management, University of Aarhus.
[Downloadable!]
Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2003.
"An empirical analysis of stock and bond market liquidity ,"
Staff Reports
164, Federal Reserve Bank of New York.
[Downloadable!]
Wolfram Horneff & Raimond Maurer & Michael Stamos, 2006.
"Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal? ,"
Working Papers
wp146, University of Michigan, Michigan Retirement Research Center.
[Downloadable!]
Massimo Guidolin & Allan Timmerman, 2006.
"Asset allocation under multivariate regime switching ,"
Working Papers
2005-002, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions: Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2001.
"An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies ,"
University of California at Los Angeles, Anderson Graduate School of Management
1018, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Herve Roche, 2004.
"Optimum Consumption and Portfolio Allocations under Incomplete Information ,"
Econometric Society 2004 Latin American Meetings
79, Econometric Society.
[Downloadable!]
John H. Cochrane, 2006.
"The Dog That Did Not Bark: A Defense of Return Predictability ,"
NBER Working Papers
12026, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: P. R. Lane, 2001.
"The National Pensions Reserve Fund: Pitfalls and Opportunities ,"
Trinity Economics Papers
20017, Trinity College Dublin, Department of Economics.
[Downloadable!]
Julie Agnew & Pierluigi Balduzzi, 2004.
"Large, Small, International: Equity Portfolio Choices In A Large 401(k) Plan ,"
Working Papers, Center for Retirement Research at Boston College
2004-14, Center for Retirement Research.
[Downloadable!]
Taboga, Marco, 2004.
"A Simple Model of Robust Portfolio Selection ,"
MPRA Paper
16472, University Library of Munich, Germany.
[Downloadable!]
Anderson, Anders E. S., 2004.
"One for the Gain, Three for the Loss ,"
SIFR Research Report Series
20, Institute for Financial Research.
[Downloadable!]
Francesco Menoncin, .
"Risk management for an internationally diversified portfolio ,"
Working Papers
ubs0404, University of Brescia, Department of Economics.
[Downloadable!]
Other versions: Gollier, Christian, 2005.
"Optimal Portfolio Management for Individual Pension Plans ,"
IDEI Working Papers
298, Institut d'Économie Industrielle (IDEI), Toulouse.
[Downloadable!]
Other versions: Gollier, Christian, 2007.
"Assets Relative Risk for Long-term Investors ,"
IDEI Working Papers
466, Institut d'Économie Industrielle (IDEI), Toulouse.
[Downloadable!]
Lubos Pastor & Robert F. Stambaugh, 2008.
"Predictive Systems: Living with Imperfect Predictors ,"
NBER Working Papers
13804, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Lubos Pastor & Robert F. Stambaugh, 2007.
"Predictive Systems: Living with Imperfect Predictors ,"
NBER Working Papers
12814, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Pástor, Luboš & Stambaugh, Robert F, 2007.
"Predictive Systems: Living with Imperfect Predictors ,"
CEPR Discussion Papers
6076, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Lubos Pástor & Robert F. Stambaugh, 2009.
"Predictive Systems: Living with Imperfect Predictors ,"
Journal of Finance ,
American Finance Association, vol. 64(4), pages 1583-1628, 08.
[Downloadable!] (restricted) KIANI, Khurshid M., 2007.
"Determination Of Volatility And Mean Returns: An Evidence From An Emerging Stock Market ,"
International Journal of Applied Econometrics and Quantitative Studies ,
Euro-American Association of Economic Development, vol. 4(1), pages 103-118.
[Downloadable!]
Bradley S. Paye & Allan Timmermann, 2002.
"How stable are Financial Prediction Models? Evidence from US and International Stock Market Data ,"
University of California at San Diego, Economics Working Paper Series
2002-13, Department of Economics, UC San Diego.
[Downloadable!]
Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2006.
"Investing for the long-run in European real estate ,"
Working Papers
2006-028, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions: Massimo Guidolin & Allan Timmerman, 2005.
"Size and value anomalies under regime shifts ,"
Working Papers
2005-007, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions: Gianni Amisano & Roberto Savona, 2008.
"Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk ,"
Working Paper Series
881, European Central Bank.
[Downloadable!]
Other versions: Michael Brennan & Yihong Xia, 2000.
"Dynamic Asset Allocation under Inflation ,"
University of California at Los Angeles, Anderson Graduate School of Management
1069, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2007.
"Portfolio choice over the life-cycle when the stock and labor markets are cointegrated ,"
Working Paper Series
WP-07-11, Federal Reserve Bank of Chicago.
[Downloadable!]
John Y. Campbell & Luis M. Viceira, 2001.
"Who Should Buy Long-Term Bonds? ,"
American Economic Review ,
American Economic Association, vol. 91(1), pages 99-127, March.
[Downloadable!] (restricted)
Other versions:
John Y. CAMPBELL & Luis VICEIRA, 1998.
"Who Should Buy Long-Term Bonds? ,"
FAME Research Paper Series
rp5, International Center for Financial Asset Management and Engineering.
[Downloadable!] John Y. Campbell & Luis M. Viceira, 2000.
"Who Should Buy Long-Term Bonds? ,"
Harvard Institute of Economic Research Working Papers
1895, Harvard - Institute of Economic Research.
[Downloadable!] John Y. Campbell & Luis M. Viceira, 1998.
"Who Should Buy Long-Term Bonds? ,"
NBER Working Papers
6801, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Gollier, Christian, 2003.
"Optimal Dynamic Portfolio Risk with First-Order and Second-Order Predictability ,"
IDEI Working Papers
250, Institut d'Économie Industrielle (IDEI), Toulouse.
[Downloadable!]
Egil Matsen & Øystein Thøgersen, 2000.
"Designing Social Security – A Portfolio Choice Approach ,"
Working Paper Series
1102, Department of Economics, Norwegian University of Science and Technology.
[Downloadable!]
Other versions:
Matsen, E. & Thogersen, O., 2001.
"Designing Social Security - A Portfolio Choice Approach ,"
Papers
21/2001, Norwegian School of Economics and Business Administration-.
Matsen, Egil & Thogersen, Oystein, 2004.
"Designing social security - a portfolio choice approach ,"
European Economic Review ,
Elsevier, vol. 48(4), pages 883-904, August.
[Downloadable!] (restricted) Jérôme B. Detemple & René Garcia & Marcel Rindisbacher, 2003.
"Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes ,"
CIRANO Working Papers
2003s-11, CIRANO.
[Downloadable!]
Other versions:
Marcel Rindisbacher & Jérôme Detemple & René Garcia, 2004.
"Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes ,"
Econometric Society 2004 North American Winter Meetings
483, Econometric Society.
Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel, 2006.
"Asymptotic properties of Monte Carlo estimators of diffusion processes ,"
Journal of Econometrics ,
Elsevier, vol. 134(1), pages 1-68, September.
[Downloadable!] (restricted) Andrew Ang & Geert Bekaert & Jun Liu, 2000.
"Why Stocks May Disappoint ,"
NBER Working Papers
7783, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Antonios Sangvinatsos & Jessica A. Wachter, 2003.
"Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors ,"
NBER Working Papers
10086, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Jacob A. Bikker & Dirk W.G.A. Broeders & Jan de Dreu, 2007.
"Stock market performance and pension fund investment policy: rebalancing, free float, or market timing? ,"
Working Papers
07-27, Utrecht School of Economics.
[Downloadable!]
Other versions:
Jacob A. Bikker & Dirk W.G.A. Broeders & Jan de Dreu, 2007.
"Stock market performance and pension fund investment policy: rebalancing, free float, or market timing? ,"
DNB Working Papers
154, Netherlands Central Bank, Research Department.
[Downloadable!] Jacob A. Bikker & Laura Spierdijk & Paul Finniez, 2007.
"Stock market performance and pension fund investment policy: rebalancing, free float, or market timing? ,"
DNB Working Papers
156, Netherlands Central Bank, Research Department.
[Downloadable!] Li, GuangJie, 2009.
"The Horizon Effect of Stock Return Predictability and Model Uncertainty on Portfolio Choice: UK Evidence ,"
Cardiff Economics Working Papers
E2009/4, Cardiff University, Cardiff Business School, Economics Section, revised Aug 2009.
[Downloadable!]
Sørensen, Carsten & Trolle, Anders Bjerre, 2006.
"Dynamic asset allocation and latent variables ,"
Working Papers
2004-8, Copenhagen Business School, Department of Finance.
[Downloadable!]
Prasad Bidarkota & Khurshid M. Kiani, 2004.
"No Predictable Components in G7 Stock Returns ,"
Working Papers
0416, Florida International University, Department of Economics.
[Downloadable!]
Campbell, John Y & Chan, Yeung Lewis & Viceira, Luis M, 2001.
"A Multivariate Model of Strategic Asset Allocation ,"
CEPR Discussion Papers
3070, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:
John Y. Campbell & Yeung Lewis Chan & Luis M. Viceira, 2001.
"A Multivariate Model of Strategic Asset Allocation ,"
NBER Working Papers
8566, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Campbell, John Y. & Chan, Yeung Lewis & Viceira, Luis M., 2003.
"A multivariate model of strategic asset allocation ,"
Journal of Financial Economics ,
Elsevier, vol. 67(1), pages 41-80, January.
[Downloadable!] (restricted) Essig, Lothar & Reil-Held, Anette, 2004.
"Chancen und Risiken der Riester-Rente ,"
Sonderforschungsbereich 504 Publications
04-67, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
[Downloadable!]
David Daewhan Cho, 2004.
"Uncertainty in Second Moments: Implications for Portfolio Allocation ,"
Econometric Society 2004 Far Eastern Meetings
431, Econometric Society.
[Downloadable!]
Anthony W. Lynch & Sinan Tan, 2004.
"Labor Income Dynamics at Business-Cycle Frequencies: Implications for Portfolio Choice ,"
NBER Working Papers
11010, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Georges Prat & Remzi Uctum, 2008.
"The dynamics of ex-ante risk premia in the foreign exchange market: Evidence from the yen/usd exchange rate Using survey data ,"
EconomiX Working Papers
2008-2, University of Paris West - Nanterre la Défense, EconomiX.
[Downloadable!]
Other versions: Amit Goyal & Ivo Welch, 2002.
"Predicting the Equity Premium With Dividend Ratios ,"
NBER Working Papers
8788, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Gianluca Cassesse & Massimo Guidolin, 2005.
"Modelling the MIB30 implied volatility surface. Does market efficiency matter? ,"
Working Papers
2005-008, Federal Reserve Bank of St. Louis.
[Downloadable!]
Martin D. D. Evans & Viktoria Hnatkovska, 2005.
"Solving General Equilibrium Models with Incomplete Markets and Many Assets ,"
NBER Technical Working Papers
0318, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Timotheos Angelidis & Nikolaos Tessaromatis, 2009.
"The Efficiency of Greek Public Pension Fund Portfolios ,"
Working Papers
0035, University of Peloponnese, Department of Economics.
[Downloadable!]
Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2004.
"Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns ,"
NBER Working Papers
10996, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2001.
"Common determinants of bond and stock market liquidity: the impact of financial crises, monetary policy, and mutual fund flows ,"
Staff Reports
141, Federal Reserve Bank of New York.
[Downloadable!]
ROCKINGER, Michael & JONDEAU, Eric, 2001.
"Portfolio allocation in transition economies ,"
Les Cahiers de Recherche
740, HEC Paris.
[Downloadable!]
Rajeev H. Dehejia, 2002.
"Program evaluation as a decision problem ,"
Discussion Papers
0102-23, Columbia University, Department of Economics.
[Downloadable!]
Other versions:
Rajeev Dehejia, 1999.
"Program Evaluation as a Decision Problem ,"
NBER Working Papers
6954, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Dehejia, Rajeev H., 2005.
"Program evaluation as a decision problem ,"
Journal of Econometrics ,
Elsevier, vol. 125(1-2), pages 141-173.
[Downloadable!] (restricted) Larry Epstein & Martin Schneider, 2002.
"Learning Under Ambiguity ,"
RCER Working Papers
497, University of Rochester - Center for Economic Research (RCER), revised Mar 2005.
[Downloadable!]
Other versions: Gary Chamberlain, 2000.
"Econometric applications of maxmin expected utility ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 15(6), pages 625-644.
[Downloadable!]
Jun Liu & Francis Longstaff & Jun Pan, 2001.
"Dynamic Asset Allocation with Event Risk ,"
University of California at Los Angeles, Anderson Graduate School of Management
1001, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009.
"Non-linear predictability in stock and bond returns: when and where is it exploitable? ,"
Working Papers
2008-010, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions: Vladislav KArgin, 2004.
"Optimal Convergence Trading ,"
Finance
0401003, EconWPA.
[Downloadable!]
Giordano Pola & Gianni Pola, 2009.
"A stochastic reachability approach to portfolio construction in finance industry ,"
Quantitative Finance Papers
0907.3301, arXiv.org.
[Downloadable!]
Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen, 2006.
"Optimal Decentralized Investment Management ,"
NBER Working Papers
12144, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
John M Maheu & Thomas H McCurdy, 2007.
"How useful are historical data for forecasting the long-run equity return distribution? ,"
Working Papers
tecipa-293, University of Toronto, Department of Economics.
[Downloadable!]
Other versions:
John M. Maheu & Thomas H. McCurdy, 2007.
"How useful are historical data for forecasting the long-run equity return distribution? ,"
Working Paper Series
19-07, Rimini Centre for Economic Analysis, revised Jul 2007.
[Downloadable!] Maheu, John M. & McCurdy, Thomas H., 2009.
"How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 27, pages 95-112.
[Downloadable!] (restricted) Marie Brière & Ombretta Signori, 2009.
"Inflation-hedging portfolios in Different Regimes ,"
Working Papers CEB
09-047.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB).
[Downloadable!]
Dirk Nitzsche & Keith Cuthbertson & Niall O'Sullivan, 2005.
"Mutual Fund Performance: Skill Or Luck? ,"
Money Macro and Finance (MMF) Research Group Conference 2005
4, Money Macro and Finance Research Group.
[Downloadable!]
Ferstl, Robert & Weissensteiner, Alex, 2009.
"Asset-Liability Management under time-varying Investment Opportunities ,"
MPRA Paper
15068, University Library of Munich, Germany, revised 25 May 2009.
[Downloadable!]
Josh Lerner, 2000.
"Where Does State Street Lead? A First Look at Finance Patents, 1971-2000 ,"
NBER Working Papers
7918, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Miquel Faig & Pauline Shum, 2006.
"What Explains Household Stock Holdings? ,"
Working Papers
tecipa-218, University of Toronto, Department of Economics.
[Downloadable!]
Other versions: Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005.
"Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income ,"
NBER Working Papers
11247, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Lungu, Laurian & Minford, Patrick, 2005.
"Explaining The Equity Risk Premium ,"
CEPR Discussion Papers
5017, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Christian E. Weller & Jeffrey Wenger, 2008.
"Prudent Investors: The Asset Allocation of Public Pension Plans ,"
Working Papers
wp175, Political Economy Research Institute, University of Massachusetts at Amherst.
[Downloadable!]
Anthony Garratt & Kevin Lee, 2006.
"Investing Under Model Uncertainty: Decision Based Evaluation of Exchange Rate and Interest Rate Forecasts in the US, UK and Japan ,"
Birkbeck Working Papers in Economics and Finance
0616, Birkbeck, Department of Economics, Mathematics & Statistics.
[Downloadable!]
Bacchetta, Philippe & van Wincoop, Eric, 2005.
"Rational Inattention: A Solution to the Forward Discount Puzzle ,"
CEPR Discussion Papers
5261, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Rajnish Mehra & Edward C. Prescott, 2003.
"The Equity Premium in Retrospect ,"
NBER Working Papers
9525, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Mehra, Rajnish & Prescott, Edward C., 2003.
"The equity premium in retrospect ,"
Handbook of the Economics of Finance ,
in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 14, pages 889-938
Elsevier.
[Downloadable!] (restricted) Massimo Guidolin & Allan Timmerman, 2005.
"Optimal portfolio choice under regime switching, skew and kurtosis preferences ,"
Working Papers
2005-006, Federal Reserve Bank of St. Louis.
[Downloadable!]
Vincent Glode & Burton Hollifield & Marcin Kacperczyk & Shimon Kogan, 2009.
"Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry ,"
NBER Working Papers
15038, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Vladislav Kargin, 2003.
"Optimal Convergence Trading ,"
Quantitative Finance Papers
math/0302104, arXiv.org, revised Aug 2003.
[Downloadable!]
Eberts, Elke, 2003.
"The Connection of Stock Markets Between Germany and the USA : New Evidence From a Co-integration Study ,"
ZEW Discussion Papers
03-36, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
[Downloadable!]
David Daewhan Cho, 2004.
"Uncertainty in Second Moments: Implications for Portfolio Allocation ,"
Econometric Society 2004 Far Eastern Meetings
433, Econometric Society.
[Downloadable!]
Massimo Guidolin & Giovanna Nicodano, 2007.
"Managing international portfolios with small capitalization stocks ,"
Working Papers
2007-030, Federal Reserve Bank of St. Louis.
[Downloadable!]
Christian Gollier, 2004.
"Optimal Dynamic Portfolio Risk with First-Order and Second-Order Predictability ,"
The B.E. Journal of Theoretical Economics ,
Berkeley Electronic Press, vol. 0(1).
[Downloadable!]
Jay Shanken & Ane Tamayo, 2001.
"Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield ,"
NBER Working Papers
8666, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Klos, Alexander & Langer, Thomas & Weber, Martin, 2002.
"Über kurz oder lang - Welche Rolle spielt der Anlagehorizont bei Investitionsentscheidungen? ,"
Sonderforschungsbereich 504 Publications
02-49, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
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