- Aarbu, K. O. and F. Schroyen (2009), âMapping risk aversion in Norway using hypothetical income gambles,â Working paper, Dept. of Economics, Norwegian School of Economics and Business Administration.
Paper not yet in RePEc: Add citation now
Alan S. and M. Browning (2010), âEstimating Intertemporal Allocation Parameters using Synthetic Residual Estimation,â Review of Economic Studies, 77, 12311261.
Bansal, R., and A. Yaron (2004), âRisks for the Long Run: A Potential Resolution of Asset Pricing Puzzles,â Journal of Finance, 59, 14811509.
- Barsky, R. B., F. T. Juster, M. S. Kimball and M. D. Shapiro (1997), âPreference parameters and behavioral heterogeneity: An experimental approach in the HRS,â Quarterly Journal of Economics, 112, S537S579.
Paper not yet in RePEc: Add citation now
Basak, Suleyman (2005), âAsset Pricing with Heterogeneous Beliefs,â Journal of Banking and Finance, 29, 2849-2881.
Benninga, S and J. Mayshar (2000), âHeterogeneity and Option Pricing,â Review of Derivatives Research, 4, 7-27.
Bhamra, Harjoat S. and Raman Uppal (2009), âThe Eïect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Return When Agents Diïer in Risk Aversion,â Review of Financial Studies, 22, 2303-2330.
Bhamra, Harjoat S. and Raman Uppal (2010), âAsset Prices with Heterogeneity in Preferences and Beliefs,â Working paper, Sauder School of Business (UBC) and London Business School.
Blume, L. and D. Easley (2006) âIf youâre so smart, why arenât you rich? Belief selection in complete and incomplete marketsâ, Econometrica, 74, 929-966.
Brennan, M. J. (1998), âThe role of learning in dynamic portfolio decisions,â European Finance Review, 1, 295-306.
Campbell, J. Y. (2003), âConsumption-based Asset Pricing,â in Constantinides, G., M. Harris and R. Stulz (eds) Handbook of the Economics of Finance (Amsterdam: North-Holland) 803887.
Campbell, J. Y. and J. H. Cochrane (1999), âBy Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior,â Journal of Political Economy, 107, 205-251.
Chen, H., S. Joslin and N-K. Tran (2010), âRare Disasters and Risk Sharing with Heterogeneous Beliefs,â MIT Sloan School of Management and NBER working paper No 16035.
- Chesson, H. and W. K. Viscusi (2000), âThe heterogeneity of time-risk tradeoïs,â Journal of Behavioral Decision Making, 13, 251-258.
Paper not yet in RePEc: Add citation now
Cox J. C. and C.-F. Huang (1989), âOptimal consumption and portfolio policies when asset prices follow a diïusion process,â Journal of Economic Theory, 49, 3383.
- Detemple, J. and Murthy, S. (1994), âIntertemporal asset pricing with heterogeneous beliefsâ, Journal of Economic Theory, 62, 294-320.
Paper not yet in RePEc: Add citation now
Detemple, J. B., R. Garcia and M. Rindisbacher (2003), âA Monte Carlo Method for Optimal Portfolios,â Journal of Finance, 58, 40146.
- Dimson, E., P. Marsh and M. Staunton (2008), âThe Worldwide Equity Premium: A Smaller Puzzle,â in Mehra R. and E. Prescott (eds) Handbook of the Equity Risk Premium (Elsevier B.V.) 467-514 (also SSRN Working Paper No. 891620).
Paper not yet in RePEc: Add citation now
Dumas, B. (1989), âTwo-Person Dynamic Equilibrium in the Capital Market,â Review of Financial Studies, 2, 157188.
Dumas, B., A. Kurshev and R. Uppal (2009) âEquilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility,â Journal of Finance, 64, 579-629.
Gallmeyer, M. and B. Holliïeld (2008) âAn Examination of Heterogeneous Beliefs with a Short Sale Constraint,â Review of Finance, 12, 323-364.
Garleanu, N. and S. Panageas (2010), âYoung, Old, Conservative and Bold: The Implications of Heterogeneity and Finite Lives for Asset Pricing,â Working Paper, University of California at Berkeley and University of Chicago.
Gollier, Christian, and Richard Zeckhauser (2005), âAggregation of Heterogeneous Time Preferences, â Journal of Political Economy, 113, 878-96.
Hansen, L. P., and R. Jagannathan (1991), âImplications of security market data for models of dynamic economies,â Journal of Political Economy, 99, 225262.
Jouini, E. and C. Napp, (2007), âConsensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs,â Review of Economic Studies, 74, 1149-1174.
- Karatzas, I, J. P. Lehoczky, and S. E. Shreve (1987), âOptimal portfolio and consumption decisions for a âsmall investorâ on a ïnite horizon,â SIAM Journal on Control and Optimization, 25, 15571586.
Paper not yet in RePEc: Add citation now
- Karatzas, I. and S. E. Shreve (1991), âBrownian Motion and Stochastic Calculus,â 2nd ed., Springer, New York.
Paper not yet in RePEc: Add citation now
Kimball, M. S. (1990), âPrecautionary Saving in the Small and in the Large,â Econometrica, 58, 53-73.
- Kimball, M. S. (1992), âPrecautionary Motives for Holding Assets,â The New Palgrave Dictionary of Money and Finance, Peter Newman, Murray Milgate and John Eatwell (eds.), Stockton Press, New York, 158-161.
Paper not yet in RePEc: Add citation now
Kimball, M. S. (1993), âStandard Risk Aversion,â Econometrica, 61, 589-611.
Kimball, M. S., C. R. Sahm and M. D. Shapiro (2008), âImputing risk tolerance from survey responses,â Journal of the American Statistical Association, 103, 10281038.
Kogan, L., S. Ross, J. Wang and M. Westerïeld (2006), âThe Price Impact and Survival of Irrational Traders,â Journal of Finance, 61, 195229.
- Kogan, L., S. Ross, J. Wang and M. Westerïeld (2009). âMarket Selection,â Working paper, MIT Sloan School of Management.
Paper not yet in RePEc: Add citation now
Leland, H. E. (1968) âSaving and Uncertainty: The Precautionary Demand for Saving,â Quarterly Journal of Economics, 82, 465-473.
Lengwiler, Yvan (2005), âHeterogeneous Patience and the Term Structure of Interest Rates,â American Economic Review, 95, 890-896.
- Lengwiler, Yvan, Semyon Malamud and Eugene Trubowitz (2005), âAsset Pricing in Heterogeneous Economies,â Working paper, ETH Zurich.
Paper not yet in RePEc: Add citation now
Lettau, M. and J. Wachter (2009), âThe Term Structures of Equity and Interest Rates,â forthcoming, Journal of Financial Economics.
Longstaï, F. A. and J. Wang (2009), âAsset Pricing and the Credit Market,â Working Paper, MIT and University of California at Los Angeles.
Malmendier, U. and S. Nagel (2010), âDepression Babies: Do Macroeconomic Experiences Aïect Risk-Taking?,â Quarterly Journal of Economics, forthcoming.
Mehra, R. and E. Prescott (1985), âThe Equity Premium: A Puzzle,â Journal of Monetary Economics, 15, 145161.
- Mehra, R. and E. Prescott (2008), Handbook of the Equity Risk Premium (Elsevier B.V.).
Paper not yet in RePEc: Add citation now
- Negishi, Takashi (1960), âWelfare Economics and Existence of an Equilibrium for a Competitive Economy,â Metroeconomica, 12, 92-97.
Paper not yet in RePEc: Add citation now
- Nualart, David (2006), âThe Malliavin calculus and related topics. Probability and its Applications, â Second edition ed., Berlin: Springer-Verlag.
Paper not yet in RePEc: Add citation now
Paravisini, D., V. Rappoport, and E. Ravina (2010) âRisk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios, Working paper, Columbia Business School.
- Sandmo, A. (1970), âThe Eïect of Uncertainty on Saving Decisions,â Review of Economic Studies, 37, 353-360.
Paper not yet in RePEc: Add citation now
Sandroni, A. (2000), âDo markets favor agents able to make accurate predictions?,â Econometrica, 68, 1303-1341.
Shiller, R. J. (1981), âDo Stock Prices Move Too Much to be Justiïed by Subsequent Changes in Dividends?,â American Economic Review, 71, 421-436.
Wang, Jiang (1996), âThe Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors,â Journal of Financial Economics, 41 (1), 75-110.
Weil, P. (1989), âThe Equity Premium Puzzle and the Risk-Free Rate Puzzle,â Journal of Monetary Economics, 24, 401421.
Yan, Hongjun (2008), âNatural Selection in Financial Markets: Does It Work?,â Management Science, 54 (11), 1935-1950.
- Zapatero, F. (1998), âEïect of Financial Innovations on Market Volatility when Beliefs are Heterogeneous,â Journal of Economic Dynamics and Control, 22, 597-626.
Paper not yet in RePEc: Add citation now