J
Jonathan E. Ingersoll
Researcher at Yale University
Publications - 56
Citations - 11550
Jonathan E. Ingersoll is an academic researcher from Yale University. The author has contributed to research in topics: Yield curve & Portfolio. The author has an hindex of 33, co-authored 56 publications receiving 11267 citations. Previous affiliations of Jonathan E. Ingersoll include University of Chicago & Massachusetts Institute of Technology.
Papers
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An intertemporal general equilibrium model of asset prices
TL;DR: In this paper, a continuous time general equilibrium model of a simple but complete economy is developed to examine the behavior of asset prices and their stochastic properties are determined endogenously, and the model is fully consistent with rational expectations and maximizing behavior on the part of all agents.
Book
Theory of Financial Decision Making
TL;DR: In this article, the authors provide access to a broad area of research that is not available in separate articles or books of readings, such as the meaning and measurement of risk, general single-period portfolio problems, mean-variance analysis and the Capital Asset Pricing Model, the Arbitrage Pricing Theory, complete markets, multi period portfolio problems and the Intertemporal Capital Asset pricing model, the Black-Scholes option pricing model and contingent claims analysis, 'risk-neutral' pricing with Martingales, Modigliani-Miller and the capital structure of the firm, interest
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The relation between forward prices and futures prices
TL;DR: In this article, the relation between forward prices and futures prices is studied and a number of propositions characterizing the two prices are developed, including testable implications about the difference between forward and futures.
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A Re‐examination of Traditional Hypotheses about the Term Structure of Interest Rates
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Waiting to Invest: Investment and Uncertainty
TL;DR: The impact of interest rate uncertainty on the optimal delay of investment has been studied in this article, showing that the rate of aggregate investment will depend on both the level of the real interest rate and the degree of interest-rate uncertainty.