Scholarly Works - Journal articles
Journal article
Journal of Fixed Income
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September 1, 2022
In this article, we extend the 1978 Breeden-Litzenberger method of extracting state prices from option prices, showing how portfolios of butterfly spreads can be combined with right and left tail spreads to nonparametrically extract discrete state prices f ...
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Journal article
Journal of Fixed Income
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December 1, 2016
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Journal article
Journal of Asset Management
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July 1, 2016
Consumers' expenditures reflect their information about employment opportunities, likely future real wage growth, and investment opportunities, as well as current wealth and income. Real, total consumption growth deviations from normal stock market wealth ...
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Journal article
Annual Review of Financial Economics
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December 7, 2015
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- ...
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Journal article
Annual Review of Financial Economics
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December 7, 2015
This article, Part 1 of 2, reviews the classical origins, development, and tests of consumption-based asset pricing theory, focusing mainly on the first two decades from 1976 to 1998. Starting with the original consumption capital asset pricing model (CCAP ...
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Journal article
CFA Institute Conference Proceedings Quarterly
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December 2009
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Journal article
Economic Notes
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January 1, 2004
This article presents a straightforward technique for computing solutions to discrete, multi-period consumption/investment problems. It solves for the optimal stochastic consumption plans, as well as the optimal dynamic trading strategies that maximize uti ...
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Journal article
The Journal of Fixed Income
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March 31, 1997
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Journal article
Journal of Banking and Finance
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January 1, 1997
The last two decades have witnessed a tremendous growth in the volume of assets and liabilities whose cash flows depend, in a variety of ways, on the path of interest rates. Some of these, including floating-rate notes and swap agreements, contractually ba ...
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Journal article
Journal of Fixed Income
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August 13, 1991
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Journal article
Journal of Finance
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January 1, 1989
The empirical implications of the consumption‐oriented capital asset pricing model (CCAPM) are examined, and its performance is compared with a model based on the market portfolio. The CCAPM is estimated after adjusting for measurement problems associated ...
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Journal article
Journal of Financial Economics
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January 1, 1986
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 aggregat ...
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Journal article
Journal of Economic Theory
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January 1, 1984
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 ...
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Journal article
Journal of Finance
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January 1, 1980
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Journal article
Journal of Financial Economics
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January 1, 1979
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 ...
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Journal article
The Journal of Business
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January 1978
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