Following Part 1 of this article, which reviews late-1970s to 1990s classic derivations and tests of the consumption capital asset pricing model, here in Part 2 we review more recent developments, some of which are based on utility functions with non-time-separable preferences. Important...

This classic article, which was distributed by U.S. savings and loan regulators in the 1980s and 1990s, teaches the basics of hedging interest rate risks with futures, swaps and options. While the assets that are the focus are fixed rate mortgage backed securities, the general technique and...

This article computes the returns from dynamic hedging of the interest rate and prepayment risks of insured fixed rate mortgages. Changing durations cause dynamic hedges with futures markets. Nonparallel shifts in the yield curve are also investigated. Hedges are found to be risk-reducing, but...

This article shows that real, total consumption growth deviations from normal stock market wealth effects lead economic growth. Consumers' expenditures reflect their information about employment opportunities and future real wage growth, as well as information about the volatility of future...

This paper uses discrete-time and continuous-time models to derive equilibrium relations among real and nominal interest rates and the expected growth, variance and covariance parameters of optimally chosen paths for aggregate real consumption and aggregate production. Simple, intuitive and...

This paper examines the allocational roles of futures markets and commodity options in multi-good and multi-period economies. In a continuous-time model with time-additive utilities and homogeneous beliefs, trading in "unconditional" futures contracts, the market portfolio and a riskless asset...

This paper derives a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities. When no riskless asset exists, a zero-beta pricing model is derived. Asset betas are measured relative to changes in the...

This article computes empirical option costs for fixed rate mortgages and compares them to brokers' forecasts. Estimates of risks for mortgage derivatives such as IOs are also examined and shown to have very substantial errors and very substantial differences in the forecasts by different brokers

This article examines key uses and misuses of models in investment management, focusing on lessons from fixed income. Mortgage risks and risk estimation, as well as bank loan and corporate bond risk estimation are examined