SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
16 references·4 citing·41 second hop
Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments (1990)Conditions for optimality in the infinite…The Theory of Political Economy (2013)The Theory of Political Econo…A variational problem arising in financial economics (1991)A variational problem arising…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…Explicit Solution of a General Consumption/Investment Problem (1986)Explicit Solution of a Genera…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Lectures in stochastic control (1983)Lectures in stochastic controlA stochastic calculus model of continuous trading: Complete markets (1983)A stochastic calculus model o…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966. (1975)OPTIMAL INVESTMENT AND CONSUM…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Quelques applications de la formule de changement de variables pour les semimartingales (1970)Quelques applications de la f…Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions (1970)Optimal Investment and Consum…Theory of Political Economy. (1912)Theory of Political Economy.POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS (2011)POWER UTILITY MAXIMIZATION IN…Utility Maximisation in Incomplete Markets (2004)Utility Maximisation in Incom…Portfolio optimization in incomplete financial markets (2004)Portfolio optimization in inc…Valuation and martingale properties of shadow prices: An exposition (2000)Valuation and martingale prop…A system of logic, ratiocinative and inductive, being a connected view of the principles of evidence and the methods of scientific investigation. (1846)Methods and Problems in Business Cycle Theory (1980)An Essay on the Nature and Significance of Economic Science (1984)Cultural Dynamics and Economic Theories of Fertility Change (1988)Why Some Things Should Not Be for Sale (2010)The Theory of Economic Development (2016)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Asset Prices in an Exchange Economy (1978)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)An Intertemporal Capital Asset Pricing Model (1973)Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Optimal Portfolio Choice under Loss Aversion (2004)Theory of Rational Option Pricing (1973)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)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)On the pricing of American options (1988)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Option pricing and Esscher transform under regime switching (2005)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Brownian Motion and Stochastic Calculus (2007)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)Time-changed Lévy processes and option pricing (2003)Ordinal and cardinal utility: an integration of the two dimensions of the welfare concept (1994)The Wealth of Ideas (2005)Rationality in Economics: Constructivist and Ecological Forms (2007)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2013The Theory of Political Economy2,475 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 1912Theory of Political Economy.450 cited
  • 1983A stochastic calculus model of continuous trading: Complete markets431 cited
  • 1986Explicit Solution of a General Consumption/Investment Problem387 cited
  • 1970Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions347 cited
  • 1975OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966.347 cited
  • 1991A variational problem arising in financial economics229 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1970Quelques applications de la formule de changement de variables pour les semimartingales191 cited
  • 1983Lectures in stochastic control172 cited
  • Cited by

    • 2011POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS35 cited
    • 2000Valuation and martingale properties of shadow prices: An exposition28 cited
    • 2004Utility Maximisation in Incomplete Markets28 cited
    • 2004Portfolio optimization in incomplete financial markets23 cited