Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

By Bernard Dumas, A. Kurshev, Raman Uppal. 2009

378 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2c7fee52af4172fa82bfa6b48144e2e0ed7553c5

Citations in the corpus

Does investor sentiment really matter (2016, neutral): “This interest is receiving invigorating attention especially in light of the excess volatility we are experiencing in stock markets globally and our inability to consistently link fundamentals with stock price variations (Dumas et al., 2009; Shiller, 2000).”
Heterogeneous Expectations and Bond Markets (2010, neutral): “In another strand of the literature (e.g., Scheinkman and Xiong 2003; Dumas, Kurshev, and Uppal 2009; Buraschi and Jiltsov 2006; David 2008) heterogeneous beliefs arise from investors' different prior knowledge about the informativeness of signals and the dynamics of unobservable economic variables.”
Generalized Transform Analysis of Affine Processes and Applications in Finance (2012, neutral): “3 Other articles that take this approach include Heston (1993), Chen and Scott (1995), Bates (1996), Bakshi and Chen (1997), Bakshi, Cao, and Chen (1997), Chacko and Das (2002), Dumas, Kurshev, and Uppal (2009), and Buraschi, Trojani, and Vedolin (2010), among others.”
Investor Attention and Stock Market Volatility (2015, neutral): “First, in most of the existing models of learning, such as Scheinkman and Xiong (2003) and Dumas et al. (2009), uncertainty is constant.”
Asset Prices with Heterogeneity in Preferences and Beliefs (2014, neutral): “…Trojani, and Vedolin (2009, 2010), Cecchetti, Lam, and Mark (2000), David (2008), David and Veronesi (2002), Duffie, Garleânu, and Pedersen (2002), Dumas, Kurshev, and Uppal (2009), Gallmeyer (2000), Gallmeyer and Hollifield (2008), Kogan, Ross, Wang, and Westerfield (2006), Scheinkman and…”