Mark Schroder

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We develop the utility gradient (or martingale) approach for computing portfolio and consumption plans that maximize stochastic differential utility (SDU), a continuous-time version of recursive utility due to D. Duffie and L. Epstein (1992, Econometrica 60, 3533394). We characterize the first-order conditions of optimality as a system of forwarddbackward(More)
We construct firm-specific measures of expected equity returns using corporate bond yields, and replace standard ex post average returns with our expected-return measures in asset pricing tests. We find that the market beta is significantly priced in the cross section of expected returns. The expected size and value premiums are positive and(More)
We analyze the lifetime consumption-portfolio problem in a competitive securities market with continuous price dynamics, possibly nontradeable income, and convex trading constraints. We define a class of ''translation-invariant'' recursive preferences, which includes additive exponential utility, but also nonadditive recursive and multiple-prior(More)
Let V^ l) and V^ be two ergodic random potentials on KA We consider the Schrόdinger operator H ω = H 0 + V ω , with H o = —A and for x = (x 1 ,...,x d) if x t <0 if x^O ' We prove certain ergodic properties of the spectrum for this model, and express the integrated density of states in terms of the density of states of the stationary potentials V^ 1] and V^(More)
In an incomplete continuous-time securities market with uncertainty generated by Brownian motions, we derive closed-form solutions for the equilibrium interest rate and market price of risk processes. The economy has a finite number of heterogeneous exponential utility investors, who receive partially unspanned income and can trade continuously on a finite(More)
The data used for this study were provided by Algorithmics Inc., a member of the Fitch Group. We are grateful to Lei Zhang and the FactSet sta¤ for technical assistance, and to Richard Cantor for providing access to Moody's corporate default risk service. and the 2008 OpRisk USA Conference for helpful comments. We are especially indebted to Darrell Du¢ e(More)
and is grateful for support from the National Science Foundation under NSF SES. Mark Schroder is a doctoral candidate at the Kellogg Graduate School of Management. This paper presents the first model in an earlier, preliminary working paper titled: " Two Models of Price Dependence on the Timing of Resolution of Uncertainty. " We are grateful to Bob Hodrick(More)
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