Details about Philip H. Dybvig

Access statistics for papers by Philip H. Dybvig.

Last updated 2023-11-07. Update your information in the RePEc Author Service.

Short-id: pdy4

Working Papers

2022

1. Multiple equilibria
   Nobel Prize in Economics documents, Nobel Prize Committee

1999

2. Portfolio Performance and Agency
   New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (21)
   See also Journal Article Portfolio Performance and Agency, The Review of Financial Studies, Society for Financial Studies (2010) View citations (29) (2010)

1998

3. Long Forward and Zero-Coupon Rates Can Never Fall
   Yale School of Management Working Papers, Yale School of Management
   See also Journal Article Long Forward and Zero-Coupon Rates Can Never Fall, The Journal of Business, University of Chicago Press (1996) View citations (89) (1996)

1993

4. Occasional Ratcheting: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
   Finance, University Library of Munich, Germany

1989

5. Warranties, Durability, and Maintenance: Two Sided Moral Hazard in a Continuous-Time Model
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
   See also Journal Article Warranties, Durability, and Maintenance: Two-sided Moral Hazard in a Continuous-Time Model, The Review of Economic Studies, Review of Economic Studies Ltd (1993) View citations (23) (1993)

1988

6. Capital Structure and dividend Irrelevance with Asymmetric Information
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
   See also Journal Article Capital Structure and Dividend Irrelevance with Asymmetric Information, The Review of Financial Studies, Society for Financial Studies (1991) View citations (72) (1991)
7. Distributional Analysis of Portfolio Choice
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (86)
   See also Journal Article Distributional Analysis of Portfolio Choice, The Journal of Business, University of Chicago Press (1988) View citations (85) (1988)
8. Increases in Risk Aversion and Portfolio Choice in a Complete Market
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
9. Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (72)
   See also Journal Article Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market, The Review of Financial Studies, Society for Financial Studies (1988) View citations (72) (1988)
10. Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (63)
    See also Journal Article Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans, The Review of Financial Studies, Society for Financial Studies (1988) View citations (57) (1988)

1980

11. Output Supply, Employment, and Intra-Industry Wage Dispersion
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)

Journal Articles

2024

1. Approximate utility
   Finance Research Letters, 2024, 69, (PA)

2023

2. Nobel Lecture: Multiple Equilibria
   Journal of Political Economy, 2023, 131, (10), 2623 - 2644

2021

3. The Contributions of Stephen A. Ross to Financial Economics
   Annual Review of Financial Economics, 2021, 13, (1), 1-14

2018

4. On investor preferences and mutual fund separation
   Journal of Economic Theory, 2018, 174, (C), 224-260 View citations (4)

2015

5. Screening of possibly incompetent agents
   Economics Letters, 2015, 135, (C), 15-18

2013

6. The new risk management: the good, the bad, and the ugly
   Review, 2013, 95, (July), 273-291
   Also in Review, 1997, (Nov), 9-21 (1997) View citations (4)

2012

7. Increases in risk aversion and the distribution of portfolio payoffs
   Journal of Economic Theory, 2012, 147, (3), 1222-1246 View citations (6)

2010

8. Lifetime consumption and investment: Retirement and constrained borrowing
   Journal of Economic Theory, 2010, 145, (3), 885-907 View citations (80)
9. Portfolio Performance and Agency
   The Review of Financial Studies, 2010, 23, (1), 1-23 View citations (29)
   See also Working Paper Portfolio Performance and Agency, New York University, Leonard N. Stern School Finance Department Working Paper Seires (1999) View citations (21) (1999)
10. Renegotiation-proof contracting, disclosure, and incentives for efficient investment
    Journal of Economic Theory, 2010, 145, (5), 1805-1836

2009

11. Consensus in Diverse Corporate Boards
    The Review of Financial Studies, 2009, 22, (2), 715-747 View citations (42)

2003

12. Employee Reload Options: Pricing, Hedging, and Optimal Exercise
    The Review of Financial Studies, 2003, 16, (1), 145-171 View citations (19)

2001

13. The Cost and Duration of Cash-Balance Pension Plans
    Financial Analysts Journal, 2001, 57, (6), 50-62

2000

14. Bank runs, deposit insurance, and liquidity
    Quarterly Review, 2000, 24, (Win), 14-23 View citations (213)
    Also in Journal of Political Economy, 1983, 91, (3), 401-19 (1983) View citations (4765)
15. Bias of Damage Awards and Free Options in Securities Litigation
    Journal of Financial Intermediation, 2000, 9, (2), 149-168 View citations (2)

1999

16. Empty Promises and Arbitrage
    The Review of Financial Studies, 1999, 12, (4), 807-34 View citations (7)
17. Portfolio Turnpikes
    The Review of Financial Studies, 1999, 12, (1), 165-95 View citations (21)
18. Using Asset Allocation to Protect Spending
    Financial Analysts Journal, 1999, 55, (1), 49-62 View citations (4)

1997

19. Going to Extremes: Correcting Simulation Bias in Exotic Option Valuation
    Financial Analysts Journal, 1997, 53, (1), 62-68
20. Recovery of Preferences from Observed Wealth in a Single Realization
    The Review of Financial Studies, 1997, 10, (1), 151-74 View citations (13)

1996

21. Long Forward and Zero-Coupon Rates Can Never Fall
    The Journal of Business, 1996, 69, (1), 1-25 View citations (89)
    See also Working Paper Long Forward and Zero-Coupon Rates Can Never Fall, Yale School of Management Working Papers (1998) (1998)
22. Pricing Long Bonds: Pitfalls and Opportunities
    Financial Analysts Journal, 1996, 52, (1), 32-39

1995

23. Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
    The Review of Economic Studies, 1995, 62, (2), 287-313 View citations (79)

1994

24. What is the Fed's decision problem? (conference panel discussion)
    Proceedings, 1994, (Mar), 213-215
    Also in Review, 1994, (Mar), 213-215 (1994)

1993

25. Warranties, Durability, and Maintenance: Two-sided Moral Hazard in a Continuous-Time Model
    The Review of Economic Studies, 1993, 60, (3), 575-597 View citations (23)
    See also Working Paper Warranties, Durability, and Maintenance: Two Sided Moral Hazard in a Continuous-Time Model, Cowles Foundation Discussion Papers (1989) View citations (2) (1989)

1991

26. Capital Structure and Dividend Irrelevance with Asymmetric Information
    The Review of Financial Studies, 1991, 4, (1), 201-19 View citations (72)
    See also Working Paper Capital Structure and dividend Irrelevance with Asymmetric Information, Cowles Foundation Discussion Papers (1988) View citations (3) (1988)

1988

27. Book Review: Security Markets: Stochastic Models by Darrell Duffie
    The Review of Financial Studies, 1988, 1, (3), 329-330
28. Distributional Analysis of Portfolio Choice
    The Journal of Business, 1988, 61, (3), 369-93 View citations (85)
    See also Working Paper Distributional Analysis of Portfolio Choice, Cowles Foundation Discussion Papers (1988) View citations (86) (1988)
29. Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market
    The Review of Financial Studies, 1988, 1, (1), 67-88 View citations (72)
    See also Working Paper Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market, Cowles Foundation Discussion Papers (1988) View citations (72) (1988)
30. Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans
    The Review of Financial Studies, 1988, 1, (4), 377-401 View citations (57)
    See also Working Paper Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans, Cowles Foundation Discussion Papers (1988) View citations (63) (1988)

1986

31. Banking Theory, Deposit Insurance, and Bank Regulation
    The Journal of Business, 1986, 59, (1), 55-68 View citations (76)
32. Tax Clienteles and Asset Pricing
    Journal of Finance, 1986, 41, (3), 751-62 View citations (36)
33. The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates
    Journal of Finance, 1986, 41, (3), 617-30 View citations (104)

1985

34. Acknowledgment: Kinks on the Mean-Variance Frontier
    Journal of Finance, 1985, 40, (1), 345 View citations (1)
35. Differential Information and Performance Measurement Using a Security Market Line
    Journal of Finance, 1985, 40, (2), 383-99 View citations (122)
36. The Analytics of Performance Measurement Using a Security Market Line
    Journal of Finance, 1985, 40, (2), 401-16 View citations (120)
37. Yes, the APT Is Testable
    Journal of Finance, 1985, 40, (4), 1173-88 View citations (21)

1984

38. Short Sales Restrictions and Kinks on the Mean Variance Frontier
    Journal of Finance, 1984, 39, (1), 239-44 View citations (12)

1983

39. Adoption externalities as public goods
    Journal of Public Economics, 1983, 20, (2), 231-247 View citations (53)
40. An Alternative Characterization of Decreasing Absolute Risk Aversion
    Econometrica, 1983, 51, (1), 223-24 View citations (9)
41. An explicit bound on individual assets' deviations from APT pricing in a finite economy
    Journal of Financial Economics, 1983, 12, (4), 483-496 View citations (27)
42. Duality, interest rates, and the theory of present value
    Journal of Economic Theory, 1983, 30, (1), 98-114 View citations (1)
43. Recovering Additive Utility Functions
    International Economic Review, 1983, 24, (2), 379-96 View citations (2)

1982

44. Mean-Variance Theory in Complete Markets
    The Journal of Business, 1982, 55, (2), 233-51 View citations (77)
45. Portfolio Efficient Sets
    Econometrica, 1982, 50, (6), 1525-46 View citations (31)
46. Recovering preferences from preferences over nominal gambles
    Journal of Economic Theory, 1982, 28, (2), 354-360

1981

47. Recovering Cardinal Utility
    The Review of Economic Studies, 1981, 48, (1), 159-166 View citations (15)

1980

48. Present values and internal rates of return
    Journal of Economic Theory, 1980, 23, (1), 66-81 View citations (7)

Chapters

2003

1. Arbitrage, state prices and portfolio theory
   Chapter 10 in Handbook of the Economics of Finance, 2003, vol. 1, Part 2, pp 605-637 View citations (19)