This paper surveys the field of asset pricing. The emphasis is on the interplay between
theory and empirical work and on the trade‐off between risk and return. Modern research …

Discount‐rate variation is the central organizing question of current asset‐pricing research. I
survey facts, theories, and applications. Previously, we thought returns were unpredictable …

The study of household finance is challenging because household behavior is difficult to
measure, and households face constraints not captured by textbook models. Evidence on …

This short volume originates in the need to provide a scientific foundation for the advice
offered by financial planners to long-term investors-individuals saving for retirement, or …

Why is the equity premium so high, and why are stocks so volatile? Why are stock returns in
excess of government bill rates predictable? This paper proposes an answer to these …

Although portfolio management didn't change much during the 40 years after the seminal
works of Markowitz and Sharpe, the development of risk budgeting techniques marked an …

In this article, I explicitly solve dynamic portfolio choice problems, up to the solution of an
ordinary differential equation (ODE), when the asset returns are quadratic and the agent has …

We propose a dynamic risk‐based model that captures the value premium. Firms are
modeled as long‐lived assets distinguished by the timing of cash flows. The stochastic …

This paper provides cross-country empirical evidence on term premia. I construct a panel of
zero-coupon nominal government bond yields spanning ten industrialized countries and …

According to conventional wisdom, long-term bonds are appropriate for conservative long-
term investors. This paper develops a model of optimal consumption and portfolio choice for …