Houghton Street
London, WC2A 2AE
United Kingdom
http://https://personal.lse.ac.uk/chabakau/
London
London School of Economics and Political Science
Centre for Economic Policy Research (CEPR)
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Mean-Variance Analysis, Multi-Period Portfolio Choice, Stochastic Investment Opportunities, Time-Consistency, Incomplete Markets
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
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
benchmarking, correlation risk, derivatives, discrete hedging, hedging, incomplete markets, minimum-variance criterion, Poisson jumps, risk management, time-consistency
asymmetric information, rational expectations, learning from prices, contingent claims, derivative securities
collateral, nonpledgeable labor income, heterogeneous preferences, disagreement, asset prices, stationary equilibrium
risk sharing, general equilibrium, index investing, heterogeneous investors, Lucas trees
idiosyncratic volatility discount, growth options, aggregate volatility risk, value premium, anomalies, real options
investor protection, asset pricing, controlling shareholders, expropriation, stock holdings
Asset Pricing, controlling shareholders, expropriation, investor protection, stock holdings
asset pricing, dynamic equilibrium, heterogeneous investors, borrowing constraints, short-sale constraints, limited participation constraints, stock return volatility
insider trading, activist trading, shareholder activism
asset pricing, dynamic equilibrium, heterogeneous investors, portfolio constraints, stochastic correlations, stock return volatility, consumption CAPM with constraints
heterogeneous investors, Epstein-Zin preferences, rare events, equilibrium, portfolio choice
asset pricing, dynamic equilibrium, heterogeneous investors, portfolio constraints, risk sharing, stock return volatility
D31, E21, G11, G12, H24 asset prices, wealth inequality, consumption tax, risk aversions, heterogeneity, stock market participation
asymmetric information, big data, derivative securities, heterogeneous beliefs, informational efficiency, interest rates, learning from prices