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Portfolio choice with endogenous utility: a large deviations approach

  • Stutzer, Michael
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-48945H4-4/2/7a8475eba65029863d4141068f7e2c0b
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 116 (2003)
    Issue (Month): 1-2 ()
    Pages: 365-386

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    Handle: RePEc:eee:econom:v:116:y:2003:i:1-2:p:365-386
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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    1. Basak, Suleyman & Shapiro, Alexander, 2001. "Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 371-405.
    2. Browne, S., 1995. "Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin," Papers 95-08, Columbia - Graduate School of Business.
    3. Narayana R. Kocherlakota, 1995. "The equity premium: it's still a puzzle," Discussion Paper / Institute for Empirical Macroeconomics 102, Federal Reserve Bank of Minneapolis.
    4. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    5. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, 06.
    6. Kitamura, Yuichi & Stutzer, Michael, 2002. "Connections between entropic and linear projections in asset pricing estimation," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 159-174, March.
    7. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September.
    8. Kroll, Yoram & Levy, Haim & Markowitz, Harry M, 1984. " Mean-Variance versus Direct Utility Maximization," Journal of Finance, American Finance Association, vol. 39(1), pages 47-61, March.
    9. Detemple, Jerome B & Zapatero, Fernando, 1991. "Asset Prices in an Exchange Economy with Habit Formation," Econometrica, Econometric Society, vol. 59(6), pages 1633-57, November.
    10. L. C. MacLean & W. T. Ziemba & G. Blazenko, 1992. "Growth Versus Security in Dynamic Investment Analysis," Management Science, INFORMS, vol. 38(11), pages 1562-1585, November.
    11. Samuelson, Paul A, 1969. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 239-46, August.
    12. Yuichi Kitamura & Michael Stutzer, 1997. "An Information-Theoretic Alternative to Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 65(4), pages 861-874, July.
    13. Tauchen, George, 2001. "Notes on financial econometrics," Journal of Econometrics, Elsevier, vol. 100(1), pages 57-64, January.
    14. Bielecki, Tomasz R. & Pliska, Stanley R. & Sherris, Michael, 2000. "Risk sensitive asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 24(8), pages 1145-1177, July.
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