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A Monte Carlo method for optimal portfolios

Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - In: The journal of finance : the journal of the American … 58 (2003) 1, pp. 401-446

Persistent link: https://www.econbiz.de/10001737303

Representation formulas for Malliavin derivatives of diffusion processes

Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - In: Finance and stochastics 9 (2005) 3, pp. 349-367

Persistent link: https://www.econbiz.de/10002946698

Intertemporal asset allocation : a comparison of methods

Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - In: Journal of banking & finance 29 (2005) 11, pp. 2821-2848

Persistent link: https://www.econbiz.de/10003121055

Asymptotic properties of Monte Carlo estimators of diffusion processes

Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - In: Journal of econometrics 134 (2006) 1, pp. 1-68

Persistent link: https://www.econbiz.de/10003368411

Dynamic noisy rational expectations equilibrium with insider information : welfare and regulation

Detemple, Jérôme B.; Rindisbacher, Marcel; Robertson, … - In: Journal of economic dynamics & control 141 (2022), pp. 1-31

Persistent link: https://www.econbiz.de/10013465371

Comments on "dynamic noisy rational expectations equilibrium with insider information: welfare and regulation," by Jerome Detemple, Marcel Rindisbacher and Scott Robertson

Li, Tao - In: Journal of economic dynamics & control 141 (2022), pp. 1-2

Persistent link: https://www.econbiz.de/10013465374

Asset Pricing with Regime-Dependent Preferences and Learning

Berrada, Tony - 2014

This paper studies equilibrium in a pure exchange economy with unobservable Markov switching consumption growth regimes and regime-dependent preferences. Variations in risk attitudes have fundamental effects on the structure of equilibrium. Explicit solutions are provided for the market price of...

Persistent link: https://www.econbiz.de/10013062632

Life-cycle finance and the design of pension plans

Bodie, Zvi; Detemple, Jérôme B.; Rindisbacher, Marcel - In: Annual review of financial economics 1 (2009), pp. 249-286

Persistent link: https://www.econbiz.de/10003924500

Asset pricing with regime-dependent preferences and learning

Berrada, Tony; Detemple, Jérôme B.; Rindisbacher, Marcel - 2013

Persistent link: https://www.econbiz.de/10010256362

A structural model of dynamic market timing

Detemple, Jérôme B.; Rindisbacher, Marcel - In: The review of financial studies 26 (2013) 10, pp. 2492-2547

Persistent link: https://www.econbiz.de/10010207251