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Option-Implied Risk Premia with Intertemporal Hedging
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Outgoing claims: the papers this work cites, builds on, or argues with.
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Transaction costs and predictability: some utility cost calculations
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The Stationary Bootstrap
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Optimal positioning in derivative securities
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Characterizing the Variance Risk Premium: The Role of the Leverage Effect
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Higher Order Risk Attitudes, Demographics, and Financial Decisions
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Dynamic Nonmyopic Portfolio Behavior
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A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
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Expected Stock Returns and Variance Risk Premia
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A Recovery that We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem
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Asymmetric Volatility Risk: Evidence from Option Markets
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Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach
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Conditional Skewness in Asset Pricing Tests
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Tails, Fears, and Risk Premia
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What Is the Expected Return on a Stock?
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Consumption and Portfolio Decisions when Expected Returns are Time Varying
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The Quanto Theory of Exchange Rates
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Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
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An Intertemporal Capital Asset Pricing Model
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Lifetime Portfolio Selection By Dynamic Stochastic Programming
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Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
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Risk Vulnerability and the Tempering Effect of Background Risk
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The Fundamental Theorem of Parameter-Preference Security Valuation
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Precautionary Saving in the Small and in the Large
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The Economics of Risk and Time
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