■ 2024년 겨울 방학 논문 세미나

* 1월 8일(수)부터 매주 월요일과 목요일은 오전 10시에 두명씩 ZOOM 세미나 진행.
* 세미나는 30분에서 1시간 사이로 진행
* PPT로 진행하는 것을 원칙으로 함. 중간에 코드를 보여주거나 시연해도 ok.
* 발표 시작 전에 자신의 소속과 이름을 이야기
* 발표는 ZOOM으로 녹화하여 유튜브에 팀원 모두가 공유
* 발표자가 아니더라도 당일 유튜브에 자신의 생각을 3문장 정도로  정리하여  댓글
* 특별한 사정이 있지 않는 한 필수참석이 원칙 (설날 주간은 쉼)

■ 논문 리스트

1. Samuelson, P. A. (1975). Lifetime portfolio selection by dynamic stochastic programming. Stochastic optimization models in finance, 517-524.  Link
2. Merton, R. C. (1969). Lifetime portfolio selection under uncertainty: The continuous-time case. The review of Economics and Statistics, 247-257. Link
3. Merton, R. (1971). Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory, 3(4), 373-413. Link
4. Kim, T. S., & Omberg, E. (1996). Dynamic nonmyopic portfolio behavior. The Review of Financial Studies, 9(1), 141-161. Link
5. Liu, J. (2007). Portfolio selection in stochastic environments. The Review of Financial Studies, 20(1), 1-39. Link
6. Merton, R. C. (1973). An intertemporal capital asset pricing model. Econometrica: Journal of the Econometric Society, 867-887. Link
7. Hansen, L. P., & Richard, S. F. (1987). The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models. Econometrica: Journal of the Eonometric Society, 587-613. Link
8. Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360.  Link
9. Fama, E. F., & MacBeth, J. D. (1974). Tests of the multiperiod two-parameter model. Journal of Financial Economics, 1(1), 43-66.  Link
10. Long Jr, J. B. (1990). The numeraire portfolio. Journal of Financial economics, 26(1), 29-69.  Link
11. Karatzas, I. and Kardaras, C. (2007). The num´eraire portfolio in semimartingale financial models. Finance and Stochastics, 11:447–493 Link
12. Campbell, J. Y., & Viceira, L. M. (1999). Consumption and portfolio decisions when expected returns are time varying. The Quarterly Journal of Economics, 114(2), 433-495. Link
13. Campbell, J. Y. (1993). Intertemporal asset pricing without consumption data. The American Economic Review, 83:487–512. Link
14. Campbell, J. Y., & Vuolteenaho, T. (2004). Bad beta, good beta. American Economic Review, 94(5), 1249-1275. Link
15. Campbell, J. Y., Polk, C., and Vuolteenaho, T. (2010). Growth or glamour? fundamentals and systematic risk in stock returns. The Review of Financial Studies, 23(1):305–344.  Link
16. Martin, I. (2017). What is the Expected Return on the Market?. The Quarterly Journal of Economics, 132(1), 367-433.  Link
17. Berk, J. B., & Van Binsbergen, J. H. (2016). Assessing asset pricing models using revealed preference. Journal of Financial Economics, 119(1), 1-23. Link
18. Goyal, A., & Santa‐Clara, P. (2003). Idiosyncratic risk matters!. The journal of finance, 58(3), 975-1007. Link