Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences

Stochastic Processes and their Applications ◽

10.1016/j.spa.2003.09.001 ◽

2003 ◽

Vol 108 (2) ◽

pp. 155-202 ◽

Author(s):

Mark Schroder ◽

Costis Skiadas

Keyword(s):

Recursive Preferences ◽

Portfolio Strategies ◽

Trading Constraints

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Optimal Lifetime Consumption-Portfolio Strategies Under Trading Constraints and Recursive Preferences

SSRN Electronic Journal ◽

10.2139/ssrn.346420 ◽

2002 ◽

Author(s):

Mark Schroder ◽

Costis Skiadas

Keyword(s):

Recursive Preferences ◽

Portfolio Strategies ◽

Trading Constraints

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Lifetime Consumption-Portfolio Choice Under Trading Constraints, Recursive Preferences and Nontradeable Income

SSRN Electronic Journal ◽

10.2139/ssrn.401681 ◽

2003 ◽

Author(s):

Mark Schroder ◽

Costis Skiadas

Keyword(s):

Portfolio Choice ◽

Recursive Preferences ◽

Trading Constraints

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Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income

Stochastic Processes and their Applications ◽

10.1016/j.spa.2004.08.001 ◽

2005 ◽

Vol 115 (1) ◽

pp. 1-30 ◽

Author(s):

Mark Schroder ◽

Costis Skiadas

Keyword(s):

Portfolio Choice ◽

Recursive Preferences ◽

Trading Constraints

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Portfolio Strategies Using Mortgage-Backed Securities (II)

ICFA Continuing Education Series ◽

10.2469/cp.v1985.n1.9 ◽

1985 ◽

Vol 1985 (1) ◽

pp. 58-61

Author(s):

Richard L. Sega

Keyword(s):

Portfolio Strategies ◽

Mortgage Backed Securities

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Portfolio Strategies Using Mortgage-Backed Securities (I)

ICFA Continuing Education Series ◽

10.2469/cp.v1985.n1.8 ◽

1985 ◽

Vol 1985 (1) ◽

pp. 53-57

Author(s):

William H. Gross

Keyword(s):

Portfolio Strategies ◽

Mortgage Backed Securities

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Endogenous Trading Constraints with Incomplete Asset Markets

SSRN Electronic Journal ◽

10.2139/ssrn.1026679 ◽

2007 ◽

Author(s):

Eva Carceles-Poveda

Keyword(s):

Asset Markets ◽

Incomplete Asset Markets ◽

Trading Constraints

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Consumption and Asset Prices with Recursive Preferences

SSRN Electronic Journal ◽

10.2139/ssrn.135248 ◽

1998 ◽

Author(s):

Mark Emery Fisher ◽

Christian Gilles

Keyword(s):

Asset Prices ◽

Recursive Preferences

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Simple Active Portfolio Strategies that Outperform Naive Diversification

SSRN Electronic Journal ◽

10.2139/ssrn.1454798 ◽

2009 ◽

Author(s):

Chris Kirby ◽

Barbara Ostdiek

Keyword(s):

Portfolio Strategies ◽

Naïve Diversification

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The Continuous-Time Principal-Agent Problem with Moral Hazard and Recursive Preferences

SSRN Electronic Journal ◽

10.2139/ssrn.1573246 ◽

2010 ◽

Author(s):

Mark D. Schroder ◽

Sumit Sinha ◽

Shlomo Levental

Keyword(s):

Moral Hazard ◽

Continuous Time ◽

Principal Agent ◽

Recursive Preferences ◽

Principal Agent Problem

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Cash Flow and Risk Premium Dynamics in an Equilibrium Asset Pricing Model with Recursive Preferences

SSRN Electronic Journal ◽

10.2139/ssrn.2693748 ◽

2015 ◽

Author(s):

Taeyoung Doh ◽

Shu Wu

Keyword(s):

Asset Pricing ◽

Cash Flow ◽

Risk Premium ◽

Pricing Model ◽

Recursive Preferences ◽

Asset Pricing Model ◽

Equilibrium Asset Pricing

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