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Convergence from discrete to continuous-time contingent claims prices
He, Hua - In: The review of financial studies 3 (1990) 4, pp. 523-546
Persistent link: https://www.econbiz.de/10001105892
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Optimal consumption-portfolio policies : a convergence from discrete to continuous time models
He, Hua - In: Journal of economic theory 55 (1991) 2, pp. 340-363
Persistent link: https://www.econbiz.de/10001116383
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Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts
FEARNLEY, Tom A. - Swiss Finance Institute - 2002
The paper tests a conditional multivariate International Capital Asset Pricing Model for US, Japanese and European stocks and government bonds, covering the period 1993-2001. Time variation in the prices of market and currency risk is modelled by means of synchronous regime switching. The paper...
Persistent link: https://www.econbiz.de/10005612059
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Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
Cuoco, Domenico - In: Journal of economic theory 72 (1997) 1, pp. 33-73
Persistent link: https://www.econbiz.de/10001213786
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Market frictions and consumption-based asset pricing
He, Hua - In: Journal of political economy 103 (1995) 1, pp. 94-117
Persistent link: https://www.econbiz.de/10001176411
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Consumption and portfolio policies with incomplete markets and short-sale constraints : the infinite dimensional case
He, Hua - In: Journal of economic theory 54 (1991) 2, pp. 259-304
Persistent link: https://www.econbiz.de/10001108808
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On equilibrium asset price processes
He, Hua - In: The review of financial studies 6 (1993) 3, pp. 593-617
Persistent link: https://www.econbiz.de/10001159892
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Labor income, borrowing constraints, and equilibrium asset prices
He, Hua - In: Economic theory : official journal of the Society for … 3 (1993) 4, pp. 663-696
Persistent link: https://www.econbiz.de/10001150755
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An equilibrium model with restricted stock market participation
Başak, Suleyman; Cuoco, Domenico - 1997 - Rev
Persistent link: https://www.econbiz.de/10000957422
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Optimal consumption choices for a "large" investor
Cuoco, Domenico - In: Journal of economic dynamics & control 22 (1998) 3, pp. 401-436
Persistent link: https://www.econbiz.de/10001236589