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Stochastic Partial Differential Equations and Portfolio Choice
16 references·6 citing·38 second hop
Stochastic Partial Differential Equations and Portfolio Choice (2010)Stochastic Partial Differential Equations…Portfolio Selection in Stochastic Environments (2006)Portfolio Selection in Stocha…Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets (2005)Dynamic Consumption and Portf…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Portfolio and Consumption Dec…Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Stochastic Controls (1999)Stochastic ControlsStochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Dynamic Nonmyopic Portfolio Behavior (1996)Dynamic Nonmyopic Portfolio B…The Risk and Predictability of International Equity Returns (1993)The Risk and Predictability o…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Expected stock returns and volatility (1987)Expected stock returns and vo…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesAsset returns and inflation (1977)Asset returns and inflationLifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion (2019)Forward Rank-Dependent Perfor…Dynamically consistent investment under model uncertainty: the robust forward criteria (2018)Dynamically consistent invest…An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior (2018)An ergodic BSDE approach to f…Dynamic approaches for some time-inconsistent optimization problems (2017)Dynamic approaches for some t…OPTIMAL INVESTMENT FOR ALL TIME HORIZONS AND MARTIN BOUNDARY OF SPACE‐TIME DIFFUSIONS (2015)OPTIMAL INVESTMENT FOR ALL TI…A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility (2013)A Class of Homothetic Forward…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (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)Efficient Capital Markets: II (1991)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The Impact of Jumps in Volatility and Returns (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Theory of rational option pricing (2005)Partial Differential Equations (2010)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1977Asset returns and inflation2,701 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1999Stochastic Controls1,243 cited
  • 1993The Risk and Predictability of International Equity Returns1,065 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1996Dynamic Nonmyopic Portfolio Behavior747 cited
  • 2006Portfolio Selection in Stochastic Environments660 cited
  • 2002Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets513 cited

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2005
Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
418 cited

Cited by

  • 2015OPTIMAL INVESTMENT FOR ALL TIME HORIZONS AND MARTIN BOUNDARY OF SPACE‐TIME DIFFUSIONS39 cited
  • 2017Dynamic approaches for some time-inconsistent optimization problems34 cited
  • 2018Dynamically consistent investment under model uncertainty: the robust forward criteria29 cited
  • 2018An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior28 cited
  • 2019Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion27 cited
  • 2013A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility27 cited