London , WC2A 2AE
London School of Economics and Political Science
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Mean-Variance Analysis, Multi-Period Portfolio Choice, Stochastic Investment Opportunities, Time-Consistency, Incomplete Markets
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File name: DP7256.
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Dynamic Programming, Incomplete Markets, Mean-Variance Analysis, Multi-Period Portfolio Choice, Stochastic Investment Opportunities, Time-Consistency
Hedging, incomplete markets, minimum-variance criterion, risk management, time-consistency, discrete hedging, derivatives, benchmarking, correlation risk, Poisson jumps
File name: DP8402.
benchmarking, correlation risk, derivatives, discrete hedging, hedging, incomplete markets, minimum-variance criterion, Poisson jumps, risk management, time-consistency
asset pricing, dynamic equilibrium, heterogeneous investors, borrowing constraints, short-sale constraints, limited participation constraints, stock return volatility
asset pricing, dynamic equilibrium, heterogeneous investors, portfolio constraints, risk sharing, stock return volatility
asymmetric information, rational expectations, learning from prices, contingent claims, derivative securities
asset pricing, dynamic equilibrium, heterogeneous investors, portfolio constraints, stochastic correlations, stock return volatility, consumption CAPM with constraints
asset pricing, general equilibrium, index investing, heterogeneous investors, Lucas trees
heterogeneous investors, Epstein-Zin preferences, rare events, equilibrium, portfolio choice
investor protection, asset pricing, controlling shareholders, expropriation, stock holdings
collateral, non-pledgeable labor income, heterogeneous preferences, disagreement, asset prices, stationary equilibrium
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