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A stability result for the HARA class with stochastic interest rates
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A stability result for the HARA class with stochastic interest rates (2003)A stability result for the HARA class wit…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund (2001)Optimal management under stoc…Optimal investment in incomplete markets when wealth may become negative (2001)Optimal investment in incompl…Pricing Via Utility Maximization and Entropy (2000)Pricing Via Utility Maximizat…Dynamic Asset Allocation and Fixed Income Management (1999)Dynamic Asset Allocation and …Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Optimization Problems in the Theory of Continuous Trading (1989)Optimization Problems in the …Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Optimum 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 …Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform (2016)Optimal consumption–investmen…The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Aspects of the Theory of Risk-Bearing. (1966)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)Theory of Rational Option Pricing (1973)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Does Option Compensation Increase Managerial Risk Appetite? (2000)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)
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References

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246 cited
  • 1999Dynamic Asset Allocation and Fixed Income Management136 cited
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    • 2016Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform29 cited