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Citations for "Two-Person Dynamic Equilibrium in the Capital Market"

by Dumas, Bernard

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  1. Filippo Taddei, 2007. "Equity Premium: Interaction of Belief Heterogeneity and Distribution of Wealth?," Carlo Alberto Notebooks 67, Collegio Carlo Alberto.
  2. Kogan, Leonid & Uppal, Raman, 2002. "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," CEPR Discussion Papers 3306, C.E.P.R. Discussion Papers.
  3. Hua He and Jiang Wang., 1993. "Differential Information and Dynamic Behavior of Stock Trading Volume," Research Program in Finance Working Papers RPF-228, University of California at Berkeley.
  4. Chiaki Hara & James Huang & Christoph Kuzmics, 2006. "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," KIER Working Papers 620, Kyoto University, Institute of Economic Research.
  5. Ziegler, Alexandre, 2002. "State-price densities under heterogeneous beliefs, the smile effect, and implied risk aversion," European Economic Review, Elsevier, vol. 46(8), pages 1539-1557, September.
  6. Wei Xiong & Hongjun Yan, 2006. "Heterogeneous Expectations and Bond Markets," NBER Working Papers 12781, National Bureau of Economic Research, Inc.
  7. Ming Pu & Gang-Zhi Fan & Seow Ong, 2012. "Heterogeneous Agents and the Indifference Pricing of Property Index Linked Swaps," The Journal of Real Estate Finance and Economics, Springer, vol. 44(4), pages 543-569, May.
  8. Costas Xiouros, 2006. "Asset price volatilities and trading volumes in heterogeneous agent economies," Computing in Economics and Finance 2006 466, Society for Computational Economics.
  9. Puri, Tribhuvan N., 1996. "Capital flows and net international investment," International Review of Financial Analysis, Elsevier, vol. 5(2), pages 113-130.
  10. Süleyman Basak & Mike Gallmeyer, "undated". "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium," Rodney L. White Center for Financial Research Working Papers 09-98, Wharton School Rodney L. White Center for Financial Research.
  11. Jank, Stephan, 2012. "Mutual fund flows, expected returns, and the real economy," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3060-3070.
  12. repec:dau:papers:123456789/5374 is not listed on IDEAS
  13. De Santis, Roberto A. & Ehling, Paul, 2007. "Do international portfolio investors follow firms’ foreign investment decisions?," Working Paper Series 0815, European Central Bank.
  14. Mark Cassano, 2002. "Disagreement and equilibrium option trading volume," Review of Derivatives Research, Springer, vol. 5(2), pages 153-179, May.
  15. Gong, Liutang & Zou, Heng-fu, 2003. "Military spending and stochastic growth," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 153-170, October.
  16. Peter Kondor & Dimitri Vayanos, 2014. "Liquidity risk and the dynamics of arbitrage capital," LSE Research Online Documents on Economics 55910, London School of Economics and Political Science, LSE Library.
  17. Liljeblom, Eva & Loflund, Anders, 2005. "Determinants of international portfolio investment flows to a small market: Empirical evidence," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 211-233, July.
  18. Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does it Work?," Yale School of Management Working Papers amz2648, Yale School of Management, revised 01 May 2008.
  19. Lubos Pastor & Pietro Veronesi, 2015. "Income Inequality and Asset Prices under Redistributive Taxation," NBER Working Papers 21668, National Bureau of Economic Research, Inc.
  20. Larry G. Epstein & JianJun Miao, 2001. "A Two-Person Dynamic Equilibrium under Ambiguity," RCER Working Papers 478, University of Rochester - Center for Economic Research (RCER).
  21. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2011. "Multifrequency News and Stock Returns," Working Papers hal-00591678, HAL.
  22. Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
  23. Stephan Dieckmann & Michael Gallmeyer, "undated". "The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents," GSIA Working Papers 2003-E36, Carnegie Mellon University, Tepper School of Business.
  24. Hongjun Yan, 2010. "Is Noise Trading Cancelled Out by Aggregation?," Management Science, INFORMS, vol. 56(7), pages 1047-1059, July.
  25. Patrick Bolton & Christopher Harris, 2005. "The Dynamics of Optimal Risk Sharing," Economics Working Papers 0092, Institute for Advanced Study, School of Social Science, revised May 2010.
  26. Robert J. Barro & Andrew Mollerus, 2014. "Safe Assets," NBER Working Papers 20652, National Bureau of Economic Research, Inc.
  27. Georgy Chabakauri, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
  28. Jaksa Cvitanic & Elyès Jouini & Semyon Malamud & Clotilde Napp, 2011. "Financial Markets Equilibrium with Heterogeneous Agents," Review of Finance, European Finance Association, vol. 16(1), pages 285-321.
  29. Robert H. Edelstein & Peng Liu, 2016. "The Economics of Commercial Real Estate Preleasing," The Journal of Real Estate Finance and Economics, Springer, vol. 53(2), pages 200-217, August.
  30. Zapatero, Fernando, 1998. "Effects of financial innovations on market volatility when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, vol. 22(4), pages 597-626, April.
  31. Isaenko, Sergei, 2008. "The term structure of interest rates in a pure exchange economy where investors have heterogeneous recursive preferences," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 457-481, August.
  32. Bjarne Astrup Jensen & Jørgen Aase Nielsen, 2016. "How suboptimal are linear sharing rules?," Annals of Finance, Springer, vol. 12(2), pages 221-243, May.
  33. Blocher, Jesse & Reed, Adam V. & Van Wesep, Edward D., 2013. "Connecting two markets: An equilibrium framework for shorts, longs, and stock loans," Journal of Financial Economics, Elsevier, vol. 108(2), pages 302-322.
  34. Jaksa CVITANIC & Semyon MALAMUD, 2010. "Price Impact and Portfolio Impact," Swiss Finance Institute Research Paper Series 10-26, Swiss Finance Institute.
  35. Sialm, Clemens, 2006. "Stochastic taxation and asset pricing in dynamic general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 511-540, March.
  36. Zhiguo He & Arvind Krishnamurthy, 2013. "Intermediary Asset Pricing," American Economic Review, American Economic Association, vol. 103(2), pages 732-770, April.
  37. Frank Riedel, 1999. "Heterogeneous Time Preferences and Interest Rates - The Preferred Habitat Theory Revisited," Finance 9903001, EconWPA.
  38. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2014. "A Model of Monetary Policy and Risk Premia," NBER Working Papers 20141, National Bureau of Economic Research, Inc.
  39. Roche, Hervé, 2011. "Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 80-96, January.
  40. Pástor, Lˇuboš & Veronesi, Pietro, 2016. "Income inequality and asset prices under redistributive taxation," Journal of Monetary Economics, Elsevier, vol. 81(C), pages 1-20.
  41. Geoffrey Heal & Antony Millner, 2013. "Discounting under Disagreement," NBER Working Papers 18999, National Bureau of Economic Research, Inc.
  42. Joel M. Vanden, 2006. "Portfolio Insurance And Volatility Regime Switching," Mathematical Finance, Wiley Blackwell, vol. 16(2), pages 387-417.
  43. Arvind Krishnamurthy & Zhiguo He, 2009. "A Model of Capital and Crises," 2009 Meeting Papers 85, Society for Economic Dynamics.
  44. Dumas, Bernard & Uppal, Raman & Wang, Tan, 2000. "Efficient Intertemporal Allocations with Recursive Utility," Journal of Economic Theory, Elsevier, vol. 93(2), pages 240-259, August.
  45. Pierre-André Chiappori & Krislert Samphantharak & Sam Schulhofer-Wohl & Robert M. Townsend, 2011. "Heterogeneity and Risk Sharing in Village Economies," NBER Working Papers 16696, National Bureau of Economic Research, Inc.
  46. Bates, David S., 1996. "Dollar jump fears, 1984-1992: distributional abnormalities implicit in currency futures options," Journal of International Money and Finance, Elsevier, vol. 15(1), pages 65-93, February.
  47. Luis A. Alcala, 2016. "On the time consistency of collective preferences," Papers 1607.02688, arXiv.org, revised Jul 2016.
  48. Weinbaum, David, 2010. "Preference heterogeneity and asset prices: An exact solution," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2238-2246, September.
  49. Santos, Tano & Veronesi, Pietro, 2016. "Habits and Leverage," CEPR Discussion Papers 11681, C.E.P.R. Discussion Papers.
  50. David S. Bates, 1993. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options," NBER Working Papers 4596, National Bureau of Economic Research, Inc.
  51. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  52. Marcin Kacperczyk & Jaromir Nosal & Luminita Stevens, 2015. "Investor sophistication and capital income inequality," National Bank of Poland Working Papers 199, National Bank of Poland, Economic Institute.
  53. Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Pınar, Mustafa Ç, 2014. "Optimal multi-period consumption and investment with short-sale constraints," Finance Research Letters, Elsevier, vol. 11(1), pages 16-24.
  54. Judd, Kenneth L. & Leisen, Dietmar P.J., 2010. "Equilibrium open interest," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2578-2600, December.
  55. Aragon, George O. & Dieckmann, Stephan, 2011. "Stock market trading activity and returns around milestones," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 570-584, September.
  56. Drobetz, Wolfgang & Kugler, Peter & Wanzenried, Gabrielle & Zimmermann, Heinz, 2009. "Heterogeneity in asset allocation decisions: Empirical evidence from Switzerland," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 84-93, March.
  57. David S. Bates, 2001. "The Market for Crash Risk," NBER Working Papers 8557, National Bureau of Economic Research, Inc.
  58. Kraus, Alan & Sagi, Jacob S., 2006. "Asset pricing with unforeseen contingencies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 417-453, November.
  59. Lo, Andrew W & Wang, Jiang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 257-300.
  60. Alan Guoming Huang & Eric Hughson & J. Chris Leach, 2016. "Generational Asset Pricing, Equity Puzzles, and Cyclicality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 22, pages 52-71, October.
  61. Georgy Chabakauri, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
  62. Jiang, Wang, 1996. "The term structure of interest rates in a pure exchange economy with heterogeneous investors," Journal of Financial Economics, Elsevier, vol. 41(1), pages 75-110, May.
  63. Yeung Lewis Chan & Leonid Kogan, "undated". "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," Rodney L. White Center for Financial Research Working Papers 14-00, Wharton School Rodney L. White Center for Financial Research.
  64. Bates, David S., 2008. "The market for crash risk," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2291-2321, July.
  65. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
  66. Dirk Krueger & Hanno Lustig, 2006. "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?," NBER Working Papers 12634, National Bureau of Economic Research, Inc.
  67. Hanno Lustig, "undated". "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn)," UCLA Economics Online Papers 380, UCLA Department of Economics.
  68. Zhiguo He & Arvind Krishnamurthy, 2008. "Intermediary Asset Pricing," NBER Working Papers 14517, National Bureau of Economic Research, Inc.
  69. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
  70. Buss, Adrian & Dumas, Bernard J, 2013. "Financial-market Equilibrium with Friction," CEPR Discussion Papers 9524, C.E.P.R. Discussion Papers.
  71. Tano Santos & Pietro Veronesi, 2016. "Habits and Leverage," NBER Working Papers 22905, National Bureau of Economic Research, Inc.
  72. Heaton, John & Lucas, Deborah J, 1996. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 443-487, June.
  73. Vasicek, Oldrich Alfons, 2005. "The economics of interest rates," Journal of Financial Economics, Elsevier, vol. 76(2), pages 293-307, May.
  74. Robert E. Hall, 2016. "Understanding the Decline in the Safe Real Interest Rate," NBER Working Papers 22196, National Bureau of Economic Research, Inc.
  75. Jiang Wang, 1995. "The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors," NBER Working Papers 5172, National Bureau of Economic Research, Inc.
  76. Adrian Buss & Bernard Dumas, 2013. "Financial-market Equilibrium with Friction," NBER Working Papers 19155, National Bureau of Economic Research, Inc.
  77. Chiaki Hara, 2006. "Heterogeneous Risk Attitudes In A Continuous-Time Model," The Japanese Economic Review, Japanese Economic Association, vol. 57(3), pages 377-405.
  78. Saito, Makoto, 1997. "A note on ergodic distributions in two-agent economies," Journal of Mathematical Economics, Elsevier, vol. 27(2), pages 133-141, March.
  79. Li, Dan & Li, Geng, 2014. "Are Household Investors Noise Traders: Evidence from Belief Dispersion and Stock Trading Volume," Finance and Economics Discussion Series 2014-35, Board of Governors of the Federal Reserve System (U.S.).
  80. Roman Muraviev, 2013. "Market selection with learning and catching up with the Joneses," Finance and Stochastics, Springer, vol. 17(2), pages 273-304, April.
  81. Brandt, Michael W. & Wang, Kevin Q., 2003. "Time-varying risk aversion and unexpected inflation," Journal of Monetary Economics, Elsevier, vol. 50(7), pages 1457-1498, October.
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