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Citations for "Portfolio choice with non-expected utility in continuous time"

by Svensson, Lars E. O.

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  1. Turnovsky, Stephen J. & Smith, William T., 2006. "Equilibrium consumption and precautionary savings in a stochastically growing economy," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(2), pages 243-278, February.
  2. Qiang Zhang, 2004. "Accounting for Human Capital and Weak Identification in Evaluating the Esptein-Zin-Weil Non-Expected Utility Model of Asset Pricing," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-289, CIRJE, Faculty of Economics, University of Tokyo.
  3. Smith, William T., 1996. "Taxes, uncertainty, and long-term growth," European Economic Review, Elsevier, Elsevier, vol. 40(8), pages 1647-1664, November.
  4. Dumas, Bernard & Uppal, Raman & Wang, Tan, 2000. "Efficient Intertemporal Allocations with Recursive Utility," Journal of Economic Theory, Elsevier, Elsevier, vol. 93(2), pages 240-259, August.
  5. Pierre-André Chiappori & Monica Paiella, 2008. "Relative Risk Aversion Is Constant: Evidence from Panel Data," Discussion Papers 5_2008, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
  6. Auffret, Philippe, 2001. "An alternative unifying measure of welfare gains from risk-sharing," Policy Research Working Paper Series 2676, The World Bank.
  7. Nocetti, Diego & Smith, William T., 2011. "Price uncertainty, saving, and welfare," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 35(7), pages 1139-1149, July.
  8. Campbell, John Y, 1993. "Intertemporal Asset Pricing without Consumption Data," American Economic Review, American Economic Association, American Economic Association, vol. 83(3), pages 487-512, June.
  9. Smith, William T., 1996. "Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time," Economics Letters, Elsevier, Elsevier, vol. 53(2), pages 123-131, November.
  10. Maurice Obstfeld, 1992. "Risk-taking, global diversification, and growth," Discussion Paper / Institute for Empirical Macroeconomics 61, Federal Reserve Bank of Minneapolis.
  11. Matsen, Egil, 2003. "Habit persistence and welfare gains from international asset trade," Journal of International Money and Finance, Elsevier, Elsevier, vol. 22(2), pages 239-260, April.
  12. Susanne Soretz, 2007. "Efficient Dynamic Pollution Taxation in an Uncertain Environment," Environmental & Resource Economics, European Association of Environmental and Resource Economists, European Association of Environmental and Resource Economists, vol. 36(1), pages 57-84, January.
  13. Liutang Gong & William Smith & Heng-fu Zou, 2011. "Asset Prices and Hyperbolic Discounting," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics 486, China Economics and Management Academy, Central University of Finance and Economics.
  14. Traeger, Christian P., 2011. "Interemporal Risk Aversion - or - Wouldn't it be Nice to Tell Whether Robinson Crusoe is Risk," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series, Department of Agricultural & Resource Economics, UC Berkeley qt67d581xt, Department of Agricultural & Resource Economics, UC Berkeley.
  15. Paola Giuliano & Stephen Turnovsky, 2002. "Intertemporal Substitution, Risk Aversion, and Economic Performance in a Stochastically Growing Open Economy," Working Papers, University of Washington, Department of Economics UWEC-2002-20-P, University of Washington, Department of Economics.
  16. Schroder, Mark & Skiadas, Costis, 2003. "Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 108(2), pages 155-202, December.
  17. Campbell, John Y., 2003. "Consumption-based asset pricing," Handbook of the Economics of Finance, Elsevier, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 13, pages 803-887 Elsevier.
  18. Anne Epaulard & Aude Pommeret, 2003. "Recursive Utility, Endogenous Growth, and the Welfare Cost of Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(3), pages 672-684, July.
  19. Lettau, M., 1997. "Comment on "The Spirit of Capitalism and Stock Market Prices" By G.S. Bakshi and Z. Chen (AER, 1996)," Discussion Paper, Tilburg University, Center for Economic Research 1997-49, Tilburg University, Center for Economic Research.
  20. Pommeret, Aude & Smith, William T., 2005. "Fertility, volatility, and growth," Economics Letters, Elsevier, Elsevier, vol. 87(3), pages 347-353, June.
  21. Gianluca Femminis, 2012. "Risk aversion heterogeneity and the investment-uncertainty relationship," DISCE - Quaderni dell'Istituto di Teoria Economica e Metodi Quantitativi itemq1260, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  22. Katsuyuki Shibayama & Iain Fraser, 2012. "Non-Homothetic Growth Models for the Environmental Kuznets Curve," Studies in Economics, Department of Economics, University of Kent 1206, Department of Economics, University of Kent.
  23. Gaowang Wang & Heng-fu Zou, 2012. "Economic Globalization, Mercantilism and Economic Growth," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics 548, China Economics and Management Academy, Central University of Finance and Economics.
  24. Bhamra, Harjoat S. & Uppal, Raman, 2005. "The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5020, C.E.P.R. Discussion Papers.
  25. Femminis, Gianluca, 1999. "On The Optimality of Risk-Sharing in Growth Models: The Role of Education," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2264, C.E.P.R. Discussion Papers.
  26. Muro, Kazunobu, 2007. "Individual preferences and the effect of uncertainty on irreversible investment," Research in Economics, Elsevier, Elsevier, vol. 61(4), pages 191-207, December.
  27. Kihlstrom, Richard, 2009. "Risk aversion and the elasticity of substitution in general dynamic portfolio theory: Consistent planning by forward looking, expected utility maximizing investors," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 634-663, September.
  28. Smith, William & Son, Young Seob, 2005. "Can the desire to conserve our natural resources be self-defeating?," Journal of Environmental Economics and Management, Elsevier, vol. 49(1), pages 52-67, January.
  29. Evans, Lynne & Kenc, Turalay, 2004. "FOREX risk premia and policy uncertainty: a recursive utility analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 14(1), pages 1-24, February.
  30. Smith, William T., 1999. "Risk, the Spirit of Capitalism and Growth: The Implications of a Preference for Capital," Journal of Macroeconomics, Elsevier, Elsevier, vol. 21(2), pages 241-262, April.
  31. Schroder, Mark & Skiadas, Costis, 1999. "Optimal Consumption and Portfolio Selection with Stochastic Differential Utility," Journal of Economic Theory, Elsevier, Elsevier, vol. 89(1), pages 68-126, November.
  32. Söderlind, Paul, 2003. "C-CAPM and the Cross-Section of Sharpe Ratios," SIFR Research Report Series, Institute for Financial Research 18, Institute for Financial Research.
  33. Kenc, Turalay, 2004. "Taxation, risk-taking and growth: a continuous-time stochastic general equilibrium analysis with labor-leisure choice," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(8), pages 1511-1539, June.