SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach
16 references·0 citing·38 second hop
Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach (2010)Optimal Investment for Worst-Case Crash S…The Aftermath of Financial Crises (2009)The Aftermath of Financial Cr…Is the 2007 U.S. Sub-Prime Financial Crisis So Different? An International Historical Comparison (2008)Is the 2007 U.S. Sub-Prime Fi…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets (1991)Bubbles, Crashes, and Endogen…Recursive Methods in Economic Dynamics (1989)Recursive Methods in Economic…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets (1988)Bubbles, Crashes, and Endogen…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…The equity premium: A puzzle (1985)The equity premium: A puzzleManias, Panics, and Crashes: A History of Financial Crises (1979)Manias, Panics, and Crashes: …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 …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)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)Asset Prices in an Exchange Economy (1978)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Presidential Address: Discount Rates (2011)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Growth in a Time of Debt (2010)From Financial Crash to Debt Crisis (2011)The impact of high government debt on economic growth and its channels: An empirical investigation for the euro area (2012)Macroprudential Policy, Countercyclical Bank Capital Buffers, and Credit Supply: Evidence from the Spanish Dynamic Provisioning Experiments (2017)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)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)The East Asian Financial Crisis: Diagnosis, Remedies, Prospects (1998)The Adaptive Markets Hypothesis (2004)Indivisible labor and the business cycle (1985)Occupational Choice and the Process of Development (1993)The Theory of Incentives: The Principal-Agent Model (2001)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1989Recursive Methods in Economic Dynamics3,065 cited
  • 1979Manias, Panics, and Crashes: A History of Financial Crises2,838 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 2009The Aftermath of Financial Crises1,509 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1988Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets1,269 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2008Is the 2007 U.S. Sub-Prime Financial Crisis So Different? An International Historical Comparison978 cited
  • 1991Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets916 cited

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

  • 1998Methods of Mathematical Finance888 cited
  • Cited by

    No citing works inside the corpus for this window.