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The multistage one-shot decision making:theory and its application
16 references·0 citing·41 second hop
The multistage one-shot decision making:theory and its application (2015)The multistage one-shot decision making:t…EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING (2009)EXPLICIT SOLUTIONS OF CONSUMP…Decision Making in a Fuzzy Environment (2007)Decision Making in a Fuzzy En…Optimal life insurance purchase and consumption/investment under uncertain lifetime (2006)Optimal life insurance purcha…Project Management Under Risk: Using the Real Options Approach to Evaluate Flexibility in R…D (2001)Project Management Under Risk…Decision-theoretic foundations of qualitative possibility theory (2001)Decision-theoretic foundation…Utility Maximization with Discretionary Stopping (2000)Utility Maximization with Dis…Introduction to Mathematical Finance: Discrete Time Models (1997)Introduction to Mathematical …Applying ‘Options Thinking’ To R&D Valuation (1996)Applying ‘Options Thinking’ T…Continuous-Time Finance. (1991)Continuous-Time Finance.Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Managing R&D As a Strategic Option (1988)Managing R&D As a Strategic O…Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Investment and the Valuation …LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Risk, Return, and Equilibrium (1971)Risk, Return, and EquilibriumOptimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …The effects of price and cost uncertainty on investment (1972)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Real Options and Interactions with Financial Flexibility (1993)Investor valuation of the abandonment option (1996)Corporate Investment and Asset Price Dynamics: Implications for the Cross‐section of Returns (2004)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Intertemporal Asset Pricing with Heterogeneous Consumers and Without Demand Aggregation (1982)Learning, Asset‐Pricing Tests, and Market Efficiency (2002)Is the IPO pricing process efficient? (2003)Evaluating Natural Resource Investments (1985)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Pluralism in Project Management: Navigating the Crossroads of Specialization and Fragmentation (2010)A Comprehensive Model of Uncertainty Associated with Radical Innovation (2013)Resource allocation strategy for innovation portfolio management (2013)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)Hedging Inventory Risk Through Market Instruments (2005)Option pricing and Esscher transform under regime switching (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)Extensions of the TOPSIS for group decision-making under fuzzy environment (2000)A fuzzy approach for supplier evaluation and selection in supply chain management (2005)Extension of TOPSIS to Multiple Criteria Decision Making with Pythagorean Fuzzy Sets (2014)
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References

  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2007Decision Making in a Fuzzy Environment5,320 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1985Investment and the Valuation of Firms When There is an Option to Shut Down759 cited
  • 2001Project Management Under Risk: Using the Real Options Approach to Evaluate Flexibility in R…D552 cited
  • 1971Risk, Return, and Equilibrium539 cited
  • 1997Introduction to Mathematical Finance: Discrete Time Models425 cited
  • 2001Decision-theoretic foundations of qualitative possibility theory264 cited
  • 2000Utility Maximization with Discretionary Stopping235 cited
  • 1988Managing R&D As a Strategic Option219 cited
  • 2006Optimal life insurance purchase and consumption/investment under uncertain lifetime203 cited
  • 1996Applying ‘Options Thinking’ To R&D Valuation194 cited

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2009
EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
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