Durham, NC 27708-0120
Duke University and NBER
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Dynamic strategies, mean-variance optimization, multiperiod choice, efficient frontier, buy-and-hold investment
Asset volatility, Correlation, Cash Flows, Risk Premia, Fundamental Values
Asset Pricing Theory, Asset Pricing - Empirical, Asset Pricing - Equilibrium Models
Sample Selectivity, Sovereign Risk, Peso Problem, World CAPM.
Term Structure of Interest Rates, Yield Curve, Regime Switching, Risk Premium, Expectation Hypothesis, Business Cycle, Efficient Method of Moments, EMM
Regime switching, term structure of interest rate, reprojection, efficient method of moments
Learning, confidence risk, asset price dynamics
Recursive utility, learning, asset price jumps
Long Run Risks, Cointegration, aggregate dividends
This is a National Bureau of Economic Research Paper. NBER charges a fee of
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File name: nber.
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This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP3034.
Credibility, dynamic general equilibrium model, international CAPM, sample selectivity, peso problems
Portfolio Allocation, Hedging Demand, Asset Pricing, Production, Equity Markets, Housing
Uncertainty shocks, Reallocation, Safe Public Capital
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