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Citations for "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds"

by Cass, David & Stiglitz, Joseph E.

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  1. Chambers, Robert G. & Quiggin, John C., 2002. "Dual Approaches To The Analysis Of Risk Aversion," Working Papers 28606, University of Maryland, Department of Agricultural and Resource Economics.
  2. Giovanni Majnoni & Andrew Powell, 2011. "On Endogenous Risk, the Amplification Effects of Financial Systems and Macro Prudential Policies," IDB Publications (Working Papers) 58618, Inter-American Development Bank.
  3. Gadi S. Perets & Eran Yashiv, 2015. "The Fundamental Nature of HARA Utility," Discussion Papers 1522, Centre for Macroeconomics (CFM).
  4. Schmedders, Karl, 2007. "Two-fund separation in dynamic general equilibrium," Theoretical Economics, Econometric Society, vol. 2(2), June.
  5. Don U.A. Galagedera, 2004. "A Survey On Investment Performance Appraisal Methods With Special Reference To Data Envelopment Analysis," Finance 0406013, EconWPA.
  6. Thomas Eichner & Rüdiger Pethig, 2009. "Efficient management of insecure fossil fuel imports through taxing (!) domestic green energy?," Volkswirtschaftliche Diskussionsbeiträge 138-09, Universität Siegen, Fakultät Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht.
  7. John D. Burger & Francis E. Warnock, 2006. "Foreign Participation in Local Currency Bond Markets," NBER Working Papers 12548, National Bureau of Economic Research, Inc.
  8. Breuer, Wolfgang & Gürtler, Marc, 2004. "Two-Fund separation and positive marginal utility," Working Papers FW11V3, Technische Universität Braunschweig, Institute of Finance.
  9. Walter Schachermayer & Mihai Sîrbu & Erik Taflin, 2009. "In which financial markets do mutual fund theorems hold true?," Finance and Stochastics, Springer, vol. 13(1), pages 49-77, January.
  10. Thomas J. Flavin, 2006. "How Risk Averse are Fund Managers? Evidence from Irish Mutual Funds," Economics, Finance and Accounting Department Working Paper Series n1630206, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  11. Cass, David, 2006. "Competitive equilibrium with incomplete financial markets," Journal of Mathematical Economics, Elsevier, vol. 42(4-5), pages 384-405, August.
  12. Franke, Günter & Weber, Martin, 2003. "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CEPR Discussion Papers 3832, C.E.P.R. Discussion Papers.
  13. Pentti Vartia, 1979. "Indexed deposits and price expectations," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 115(2), pages 242-254, June.
  14. Wing-Keung Wong & Chenghu Ma, 2005. "Preferences over Meyer’s Location-Scale Family," Departmental Working Papers wp0506, National University of Singapore, Department of Economics.
  15. Michele Costola & Massimiliano Caporin, 2016. "Rational Learning For Risk-Averse Investors By Conditioning On Behavioral Choices," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1650003-01 .
  16. "Kamoike, Osamu", 1981. "Theory of Demand for a Mutual Fund under Asymmetric Information," Economic Review, Hitotsubashi University, vol. 32(4), pages 332-346, January.
  17. Hervé Crès & Mich Tvede, 2005. "Portfolio Diversification and Internalization of Production Externalities through Majority Voting," Sciences Po publications 816/2005, Sciences Po.
  18. Gerber, Anke & Hens, Thorsten & Woehrmann, Peter, 2005. "Dynamic General Equilibrium and T-Period Fund Separation," Discussion Papers 2005/16, Department of Business and Management Science, Norwegian School of Economics.
  19. Mario Brandtner, 2016. "Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke," Management Review Quarterly, Springer;Vienna University of Economics and Business, vol. 66(2), pages 75-115, April.
  20. Katsutoshi Wakai, 2007. "Aggregation under homogeneous ambiguity: a two-fund separation result," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 30(2), pages 363-372, February.
  21. Jérôme B. Detemple & Piero Gottardi, 1997. "Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets," CIRANO Working Papers 97s-11, CIRANO.
  22. Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2016. "Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization," Tinbergen Institute Discussion Papers 16-025/III, Tinbergen Institute.
  23. Franke, Günter & Stapleton, Richard C. & Subrahmanyam, Marti G., 1995. "Who buys and who sells options: The role and pricing of options in an economy with background risk," Discussion Papers, Series II 253, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  24. Berk, Jonathan B., 1997. "Necessary Conditions for the CAPM," Journal of Economic Theory, Elsevier, vol. 73(1), pages 245-257, March.
  25. Andrew W. Lo & Jiang W. Wang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," NBER Working Papers 7625, National Bureau of Economic Research, Inc.
  26. Marco LiCalzi & Annamaria Sorato, 2003. "The Pearson system of utility functions," Game Theory and Information 0311002, EconWPA.
  27. Merton, Robert C., 1977. "On the microeconomic theory of investment under uncertainty," Working papers 958-77., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  28. Hens, Thorsten & Reimann, Stefan & Vogt, Bodo, 2004. "Nash competitive equilibria and two-period fund separation," Journal of Mathematical Economics, Elsevier, vol. 40(3-4), pages 321-346, June.
  29. Benjamin M. Friedman, 1983. "The Substitutability of Debt and Equity Securities," NBER Working Papers 1130, National Bureau of Economic Research, Inc.
  30. Gregory Phelan & Alexis Akira Toda, 2015. "On the Robustness of Theoretical Asset Pricing Models," Department of Economics Working Papers 2015-10, Department of Economics, Williams College.
  31. Benjamin M. Friedman & V. Vance Roley, 1985. "Aspects of Investor Behavior Under Risk," NBER Working Papers 1611, National Bureau of Economic Research, Inc.
  32. Gelles, Gregory M. & Mitchell, Douglas W., 2002. "Increasingly mean-seeking utility functions and n-asset portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(5), pages 911-919.
  33. Caballe, Jordi & Pomansky, Alexey, 1997. "Complete monotonicity, background risk, and risk aversion," Mathematical Social Sciences, Elsevier, vol. 34(3), pages 205-222, October.
  34. Huang, Hung-Hsi & Wang, Ching-Ping, 2013. "Portfolio selection and portfolio frontier with background risk," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 177-196.
  35. Peterson, Steven P., 1996. "Some experimental evidence on the efficiency of dividend signaling in resolving information asymmetries," Journal of Economic Behavior & Organization, Elsevier, vol. 29(3), pages 373-388, May.
  36. Bottazzi, Jean-Marc & Hens, Thorsten & Loffler, Andreas, 1998. "Market Demand Functions in the Capital Asset Pricing Model," Journal of Economic Theory, Elsevier, vol. 79(2), pages 192-206, April.
  37. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
  38. Dybvig, Philip H. & Wang, Yajun, 2012. "Increases in risk aversion and the distribution of portfolio payoffs," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1222-1246.
  39. Wing-Keung Wong & Chenghu Ma, 2008. "Preferences over location-scale family," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 37(1), pages 119-146, October.
  40. Dachraoui, K. & Dionne, G., 2001. "Stochastic Dominance and Optimal Portfolio," Ecole des Hautes Etudes Commerciales de Montreal- 01-01, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
  41. Framstad, N.C., 2011. "Portfolio separation properties of the skew-elliptical distributions, with generalizations," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1862-1866.
  42. Jacques Pézier, 2011. "Rationalization of Investment Preference Criteria," ICMA Centre Discussion Papers in Finance icma-dp2011-12, Henley Business School, Reading University.
  43. Carl E. Walsh, 1980. "Asset Prices, Substitution Effects, and the Impact of Changes in Asset Stocks," NBER Working Papers 0566, National Bureau of Economic Research, Inc.
  44. Fousseni Chabi-Yo & Eric Ghysels & Eric Renault, 2008. "On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk," Staff Working Papers 08-16, Bank of Canada.
  45. Alan J. Auerbach, 1982. "Taxation, Corporate Financial Policy and the Cost of Capital," NBER Working Papers 1026, National Bureau of Economic Research, Inc.
  46. Isabelle Bajeux-Besnainou & James V. Jordan & Roland Portait, 2001. "An Asset Allocation Puzzle: Comment," American Economic Review, American Economic Association, vol. 91(4), pages 1170-1179, September.
  47. Merton, Robert C., 1986. "Capital market theory and the pricing of financial securities," Working papers 1818-86., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  48. Zhang, Duo, 2008. "Non-convex optimal portfolio sets and constant relative risk aversion," Journal of Economics and Business, Elsevier, vol. 60(6), pages 551-555.
  49. Farid Mkouar & Jean-Luc Prigent, 2014. "Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation," Working Papers 2014-301, Department of Research, Ipag Business School.
  50. Paulsen, Jostein, 1995. "Optimal per claim deductibility in insurance with the possibility of risky investments," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 133-147, October.
  51. Thorsten Hens & Stefan Reimann & Bodo Vogt, . "Competitive Nash Equilibria and Two Period Fund Separation," IEW - Working Papers 172, Institute for Empirical Research in Economics - University of Zurich.
  52. Don U.A. Galagedera & Piyadasa Edirisuriya, 2004. "Performance of Indian commercial banks (1995-2002): an application of data envelopment analysis and Malmquist productivity index," Finance 0408006, EconWPA.
  53. Caballe, Jordi & Pomansky, Alexey, 1996. "Mixed Risk Aversion," Journal of Economic Theory, Elsevier, vol. 71(2), pages 485-513, November.
  54. Roe, Terry L. & Shane, Mathew, 1971. "Towards A Theory Of Security Price Adjustment," Staff Papers 14070, University of Minnesota, Department of Applied Economics.
  55. Herings, P.J.J. & Kubler, F., 1999. "The Robustness of the CAPM - A Computational Approach," Discussion Paper 1999-54, Tilburg University, Center for Economic Research.
  56. Christian Gollier & Richard Zeckhauser, 2003. "Collective Investment Decision Making with Heterogeneous Time Preferences," NBER Working Papers 9629, National Bureau of Economic Research, Inc.
  57. Jacques Pézier, 2007. "Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory," ICMA Centre Discussion Papers in Finance icma-dp2008-05, Henley Business School, Reading University, revised Dec 2008.
  58. Lorenzo Garlappi, 1996. "Equilibrium with endogenous technological changes: Theory and applications," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 19(1), pages 53-79, March.
  59. Christian Framstad, Nils, 2011. "Portfolio Separation Properties of the Skew-Elliptical Distributions," Memorandum 02/2011, Oslo University, Department of Economics.
  60. Joseph E. Stiglitz, 1970. "Taxation, Risk-Taking, and the Allocation of Investment," Cowles Foundation Discussion Papers 305, Cowles Foundation for Research in Economics, Yale University.
  61. De Giorgi, Enrico & Hens, Thorsten & Mayer, Janos, 2011. "A note on reward-risk portfolio selection and two-fund separation," Finance Research Letters, Elsevier, vol. 8(2), pages 52-58, June.
  62. Benjamin M. Friedman & V. Vance Roley, 1979. "A Note on the Derivation of Linear Homogeneous Asset Demand Functions," NBER Working Papers 0345, National Bureau of Economic Research, Inc.
  63. Daniele Checchi, 1992. "What are the Real Effects of Liberalizing International Capital Movements?," Open Economies Review, Springer, vol. 3(1), pages 83-125, February.
  64. Perraudin, William R. M. & Sorensen, Bent E., 2000. "The demand for risky assets: Sample selection and household portfolios," Journal of Econometrics, Elsevier, vol. 97(1), pages 117-144, July.
  65. Johannes Binswanger, 2005. "Risk Management of Pension Systems from the Perspective of Loss Aversion," CESifo Working Paper Series 1572, CESifo Group Munich.
  66. Berrada, Tony & Hugonnier, Julien & Rindisbacher, Marcel, 2007. "Heterogeneous preferences and equilibrium trading volume," Journal of Financial Economics, Elsevier, vol. 83(3), pages 719-750, March.
  67. Joseph E. Stiglitz & Bruce Greenwald, 1992. "Towards a Reformulation of Monetary Theory: Competitive Banking," NBER Working Papers 4117, National Bureau of Economic Research, Inc.
  68. Benjamin M. Friedman, 1985. "The Substitutability of Debt and Equity Securities," NBER Chapters, in: Corporate Capital Structures in the United States, pages 197-238 National Bureau of Economic Research, Inc.
  69. Breuer, Wolfgang & Gürtler, Marc, 2002. "Performance evaluation, portfolio selection, and HARA utility," Working Papers FW01V4, Technische Universität Braunschweig, Institute of Finance.
  70. Bai, Zhidong & Phoon, Kok Fai & Wang, Keyan & Wong, Wing-Keung, 2013. "The performance of commodity trading advisors: A mean-variance-ratio test approach," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 188-201.
  71. Zakamouline, Valeri & Koekebakker, Steen, 2009. "Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1242-1254, July.
  72. Hervé Crès & Mich Tvede, 2005. "Portfolio Diversification and Internalization of Production Externalities through Majority Voting," Working Papers hal-01065579, HAL.
  73. Meyer, Donald J. & Meyer, Jack, 2005. "Risk preferences in multi-period consumption models, the equity premium puzzle, and habit formation utility," Journal of Monetary Economics, Elsevier, vol. 52(8), pages 1497-1515, November.
  74. Franke, Gunter & Stapleton, Richard C. & Subrahmanyam, Marti G., 1998. "Who Buys and Who Sells Options: The Role of Options in an Economy with Background Risk," Journal of Economic Theory, Elsevier, vol. 82(1), pages 89-109, September.
  75. Chr. Framstad, Nils, 2011. "Portfolio Separation with -symmetric and Psuedo-isotropic Distributions," Memorandum 12/2011, Oslo University, Department of Economics.
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