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Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets. (2002). Wachter, Jessica.
In: Journal of Financial and Quantitative Analysis.
RePEc:cup:jfinqa:v:37:y:2002:i:01:p:63-91_00.

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  90. The Elephant In The Ground: Managing Oil And Sovereign Wealth. (2016). Wills, Samuel ; van der Ploeg, Frederick (Rick) ; van den Bremer, Ton .
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  91. Explicit solutions to dynamic portfolio choice problems: A continuous-time detour. (2016). TOGOLA, Djibril ; Legendre, François.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:58:y:2016:i:c:p:627-641.

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  92. Convex duality for stochastic differential utility. (2016). Matoussi, Anis ; Xing, Hao.
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  93. An expansion in the model space in the context of utility maximization. (2016). Gordan v{Z}itkovi'c, ; Mostovyi, Oleksii ; Larsen, Kasper.
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  94. Optimal Time Series Momentum. (2015). Li, Kai ; He, Xuezhong.
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  95. Essays on intertemporal consumption and portfolio choice. (2015). van Bilsen, Servaas .
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  96. Earning the right premium on the right factor in portfolio planning. (2015). Branger, Nicole ; Hansis, Alexandra .
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    RePEc:eee:jbfina:v:59:y:2015:i:c:p:367-383.

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  97. Hysteresis bands on returns, holding period and transaction costs. (2015). Puopolo, Giovanni ; Dumas, Bernard ; Delgado, Francisco .
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    RePEc:eee:jbfina:v:57:y:2015:i:c:p:86-100.

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  98. Annuitization and asset allocation. (2015). Milevsky, Moshe A. ; Young, Virginia R..
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  99. Consumption investment optimization with Epstein-Zin utility in incomplete markets. (2015). Xing, Hao.
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  100. The General Structure of Optimal Investment and Consumption with Small Transaction Costs. (2015). Kallsen, Jan ; Muhle-Karbe, Johannes.
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  101. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
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  102. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
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  103. Portfolio Selection: A Review. (2014). Detemple, Jerome ; De Temple, Jerome.
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  104. Dynamic asset allocation for bank under stochastic interest rates.. (2014). Abid, Fathi ; Chakroun, Fatma.
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  105. Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation. (2014). Prigent, Jean-Luc ; MKAOUAR, Farid ; Mkouar, Farid .
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  106. When do stop-loss rules stop losses?. (2014). Lo, Andrew ; Kaminski, Kathryn M..
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  107. Hedging demand and the certainty equivalent of wealth. (2014). Six, Pierre ; Attaoui, Sami.
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  108. Consumption-portfolio optimization with recursive utility in incomplete markets. (2013). Steffensen, Mogens ; Kraft, Holger ; Seifried, Frank .
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  109. A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry. (2013). Bouri, Abdelfettah ; Jarraya, Bilel.
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  110. A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry. (2013). Jarraya, Bilel ; Bouri, Abdelfettah.
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  111. A Mean-Variance Benchmark for Intertemporal Portfolio Theory. (2013). Cochrane, John.
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  112. A spatial dominance approach to evaluate the performance of stocks and bonds: Does the investment horizon matter?. (2013). Ibarra, Raul.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:53:y:2013:i:4:p:429-439.

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  113. A robust optimization approach to asset-liability management under time-varying investment opportunities. (2013). Pachamanova, Dessislava ; Gulpinar, Nalan .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:6:p:2031-2041.

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  114. Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints. (2013). Zhang, Kun ; Jin, Xing.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:5:p:1733-1746.

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  115. Robust portfolio choice with ambiguity and learning about return predictability. (2013). Munk, Claus ; Branger, Nicole ; Larsen, Linda Sandris .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:5:p:1397-1411.

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  116. Optimal investment for an insurer with cointegrated assets: CRRA utility. (2013). Wong, Hoi Ying ; Chiu, Mei Choi.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:52:y:2013:i:1:p:52-64.

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  117. Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences. (2013). lioui, abraham.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:37:y:2013:i:5:p:1066-1096.

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  118. Optimal Consumption and Portfolio Choice under Ambiguity for a Mean-reverting Risk Premium in Complete Markets. (2013). Liu, Hening.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2013:v:14:i:1:n:2:liu.

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  119. Short-horizon regulation for long-term investors. (2012). Werker, Bas J. M., ; Shi, Zhen.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:12:p:3227-3238.

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  120. Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model. (2012). Pedersen, Thomas ; Engsted, Tom.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:2:p:241-253.

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  121. Dynamic portfolio choice and asset pricing with narrow framing and probability weighting. (2012). De Giorgi, Enrico ; Legg, Shane .
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    RePEc:eee:dyncon:v:36:y:2012:i:7:p:951-972.

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  122. The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts. (2012). Munk, Claus ; Larsen, Linda Sandris .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:2:p:266-293.

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  123. Portfolios and risk premia for the long run. (2012). Guasoni, Paolo ; Robertson, Scott.
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  124. Upgrading investment regulations in second pillar pension systems : a proposal for Colombia. (2011). Castaneda, Pablo ; Rudolph, Heinz P..
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  125. Economic Costs and Benefits of Imposing Short-Horizon Value-at-Risk Type Regulation. (2011). Bas J. M. Werker, ; Shi, Zhen.
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  126. Asset Prices, Booms and Recessions. (2011). Semmler, Willi.
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  127. The Operation of Hedge Funds: Econometric Evidence, Dynamic Modeling, and Regulatory Perspectives. (2011). Chappe, Raphaele ; Semmler, Willi.
    In: Palgrave Macmillan Books.
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  128. On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk. (2011). .
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    RePEc:kap:apfinm:v:18:y:2011:i:2:p:151-166.

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  129. Market Timing with Option-Implied Distributions: A Forward-Looking Approach. (2011). Skiadopoulos, George ; KOSTAKIS, ALEXANDROS ; Panigirtzoglou, Nikolaos .
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  130. Asset-liability management under time-varying investment opportunities. (2011). Ferstl, Robert ; Weissensteiner, Alex.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:1:p:182-192.

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  131. Essays on pension finance and dynamic asset allocation. (2010). Dai, R..
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  132. Identifying small mean-reverting portfolios. (2010). D'Aspremont, Alexandre .
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  133. Backtesting short-term treasury management strategies based on multi-stage stochastic programming. (2010). Weissensteiner, Alex ; Ferstl, Robert .
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  134. Why Do Household Portfolio Shares Rise in Wealth?. (2010). Yogo, Motohiro ; Wachter, Jessica.
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  135. Why Do Household Portfolio Shares Rise in Wealth?. (2010). Yogo, Motohiro ; Wachter, Jessica.
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  136. Asset Allocation. (2010). Wachter, Jessica.
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  137. Robust consumption and portfolio choice for time varying investment opportunities. (2010). .
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  138. Optimal investment strategies in an international economy with stochastic interest rates. (2010). Larsen, Linda Sandris .
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    RePEc:eee:reveco:v:19:y:2010:i:1:p:145-165.

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  139. Dynamic asset allocation with stochastic income and interest rates. (2010). Munk, Claus ; Sorensen, Carsten .
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    RePEc:eee:jfinec:v:96:y:2010:i:3:p:433-462.

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  140. On the optimal design of insurance contracts with guarantees. (2010). Mahayni, Antje ; Branger, Nicole ; Schneider, Judith C..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:46:y:2010:i:3:p:485-492.

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  141. Portfolio Selection with Narrow Framing: Probability Weighting Matters. (2009). De Giorgi, Enrico ; Legg, Shane .
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  142. Asset-Liability Management under time-varying Investment Opportunities. (2009). Ferstl, Robert ; Weissensteiner, Alex.
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  143. Momentum and Mean Reversion in Strategic Asset Allocation. (2009). koijen, ralph ; Sbuelz, Alessandro ; Ralph S. J. Koijen, ; Rodriguez, Juan Carlos.
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  144. Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence. (2009). Wohar, Mark ; Rapach, David E..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:28:y:2009:i:3:p:427-453.

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  145. Technical analysis: An asset allocation perspective on the use of moving averages. (2009). Zhou, Guofu ; Zhu, Yingzi.
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  146. Time diversification: Definitions and some closed-form solutions. (2009). Chung, Kee H. ; Smith, William T. ; Wu, Tao L..
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    RePEc:eee:jbfina:v:33:y:2009:i:6:p:1101-1111.

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  147. Dynamic Mean-Variance Asset Allocation. (2009). Basak, Suleyman ; Chabakauri, Georgy .
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  148. CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES. (2009). Larsen, Kasper.
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  149. A policyholders utility indifference valuation model for the guaranteed annuity option. (2009). Grasselli, Matheus R ; Silla, Sebastiano .
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  150. Prudent Investors: The Asset Allocation of Public Pension Plans. (2008). Weller, Christian ; Wenger, Jeffrey .
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  151. Essays on asset pricing. (2008). Koijen, R. S. J., .
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  152. Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts. (2008). Mitchell, Olivia ; Stamos, Michael Z. ; Horneff, Wolfram J. ; Maurer, Raimond H..
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  153. Consumption and Portfolio Choice with Option-Implied State Prices. (2008). Ait-Sahalia, Yacine ; Brandt, Michael W. ; At-Sahalia, Yacine .
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  154. Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts. (2008). Stamos, Michael Z. ; Horneff, Wolfram J. ; Maurer, Raimond H. ; Mitchel, Olivia S..
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  155. Computation of optimal portfolios using simulation-based dimension reduction. (2008). Imai, Junichi ; Boyle, Phelim ; Tan, Ken Seng.
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  156. A portfolio choice model with utility from anticipation of future consumption and stock market mean reversion. (2008). Kandel, Shmuel ; Kuznitz, Arik ; Fos, Vyacheslav.
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  157. Expected life-time utility and hedging demands in a partially observable economy. (2008). Lundtofte, Frederik.
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  158. Strategic asset allocation with liabilities: Beyond stocks and bonds. (2008). Hoevenaars, Roy ; Molenaar, Roderick D. J., ; Steenkamp, Tom B. M., ; Schotman, Peter C..
    In: Journal of Economic Dynamics and Control.
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  159. Implications of the Sharpe ratio as a performance measure in multi-period settings. (2008). wang, tan ; Cvitanic, Jaksa ; Lazrak, Ali.
    In: Journal of Economic Dynamics and Control.
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  160. Life-cycle asset allocation with annuity markets. (2008). Stamos, Michael Z. ; Horneff, Wolfram J. ; Maurer, Raimond H..
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  161. Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences. (2008). Munk, Claus.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:11:p:3560-3589.

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  162. Intertemporal Portfolio Choice under Multiple Types of Event Risks. (2008). zou, heng-fu ; Du, Du.
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  163. Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution. (2008). Pedersen, Thomas.
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  164. Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors. (2007). KOSTAKIS, ALEXANDROS.
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  165. Intertemporal Investment Strategies Under Inflation Risk. (2007). Semmler, Willi ; Hsiao, Chih-Ying ; Chiarella, Carl.
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  166. Optimal Risk Taking with Flexible Income. (2007). Cvitanic, Jaksa ; Zapatero, Fernando ; Goukasian, Levon ; Jakša Cvitani'{c}, .
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  167. Portfolio choice over the life-cycle when the stock and labor markets are cointegrated. (2007). Benzoni, Luca ; Goldstein, Robert S. ; Collin-Dufresne, Pierre.
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  168. Portfolio choice beyond the traditional approach. (2007). Penaranda, Francisco .
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  169. Saving and investing for early retirement: A theoretical analysis. (2007). Panageas, Stavros ; Farhi, Emmanuel.
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  170. Annuitization and asset allocation. (2007). Milevsky, Moshe A. ; Young, Virginia R..
    In: Journal of Economic Dynamics and Control.
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  171. The asset allocation puzzle is still a puzzle. (2007). lioui, abraham.
    In: Journal of Economic Dynamics and Control.
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  172. Asset allocation under multivariate regime switching. (2007). Timmermann, Allan ; Guidolin, Massimo.
    In: Journal of Economic Dynamics and Control.
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  173. Return predictability and stock market crashes in a simple rational expectation models. (2006). Luders, Erik ; Franke, Gunter.
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  174. The role of longevity bonds in optimal portfolios. (2006). Menoncin, Francesco.
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  175. Optimal Portfolio Choice with Annuitization. (2006). Werker, B. J. M., ; Nijman, T E ; Koijen, R. S. J., .
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  176. Optimal Portfolio Choice with Annuitization. (2006). Werker, Bas ; Nijman, Theo ; Koijen, R. S. J., ; Werker, B. J. M., .
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  177. Optimal Decentralized Investment Management. (2006). van Binsbergen, Jules ; koijen, ralph ; Ralph S. J. Koijen, ; Brandt, Michael W..
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  178. Optimal Value and Growth Tilts in Long-Horizon Portfolios. (2006). Viceira, Luis ; Jurek, Jakub W..
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  179. Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal?. (2006). Stamos, Michael Z. ; Horneff, Wolfram J. ; Maurer, Raimond H..
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  180. The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method. (2006). Hsiao, Chih-Ying.
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  181. Dynamic asset allocation and latent variables. (2006). Trolle, Anders Bjerre ; Sorensen, Carsten .
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  182. Asset allocation under multivariate regime switching. (2006). Guidolin, Massimo ; Timmerman, Allan.
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  183. Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium. (2006). Maenhout, Pascal J..
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  184. Optimal Value and Growth Tilts in Long-Horizon Portfolios. (2006). Viceira, Luis ; Jurek, Jakub W.
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  185. Return predictability and stock market crashes in a simple rational expectations model. (2005). Franke, Gunter ; Luders, Erik .
    In: CoFE Discussion Papers.
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    In: Finance.
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  199. A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability. (2004). Santa-Clara, Pedro ; Goyal, Amit ; Brandt, Michael W. ; Storud, Jonathan.
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  201. Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty: Are popular recommendations consistent with rational behavior?. (2004). Munk, Claus ; Sorensen, Carsten ; Vinther, Tina Nygaard.
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  207. Mortality Risk and Real Optimal Asset Allocation for Pension Funds. (2003). Scaillet, Olivier ; Menoncin, Francesco.
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  210. Optimal Real Consumption and Asset Allocation for a HARA Investor with Labour Income. (2003). Menoncin, Francesco ; Francesco, Menoncin .
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  213. Investment Strategies for HARA Utility Function : A General Algebraic Approximated Solution. (2002). Menoncin, Francesco.
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  214. Investment Strategies in Incomplete Markets : Sufficient Conditions for a Closed Form Solution. (2002). Menoncin, Francesco.
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  215. How the Financial Managers’ Remuneration Can Affect the Optimal Portfolio Composition ?. (2002). Menoncin, Francesco.
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  216. Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies. (2002). Uppal, Raman ; Kogan, Leonid.
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  217. Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies. (2001). Uppal, Raman ; Kogan, Leonid.
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  218. A Multivariate Model of Strategic Asset Allocation. (2001). Viceira, Luis ; Campbell, John ; Chan, Yeung Lewis.
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  219. How to Manage Inflation Risk in an Asset Allocation Problem : an Algebric Aproximated Solution. (2001). Menoncin, Francesco.
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  220. A Multivariate Model of Strategic Asset Allocation. (2001). Viceira, Luis ; Campbell, John ; Chan, Yeung Lewis.
    In: CEPR Discussion Papers.
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