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Optimal Dynamic Trading with Leverage Constraints
7 references·16 citing·44 second hop
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this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1992Theory of constant proportion portfolio insurance403 cited
  • 1986Explicit Solution of a General Consumption/Investment Problem387 cited
  • 1987An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies280 cited
  • 1988Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market246 cited
  • 1988Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans184 cited

Cited by

  • 2000Scientific progress and irreversibility: an economic interpretation of the ‘Precautionary Principle’369 cited
  • 2003A geometric approach to multiperiod mean variance optimization of assets and liabilities179 cited
  • 1998Optimal Replication of Contingent Claims under Portfolio Constraints130 cited
  • 2010Limits of Arbitrage: The State of the Theory124 cited
  • 2010Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios122 cited
  • 2013The economics of hedge funds113 cited
  • 1991Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1

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107 cited
  • 1992Arbitrage With Holding Costs: A Utility-Based Approach107 cited
  • 2011Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios104 cited
  • 2013Market Liquidity—Theory and Empirical Evidence101 cited
  • 2009Market liquidity, asset prices, and welfare97 cited
  • 2010Omega performance measure and portfolio insurance91 cited
  • 2000Optimal portfolio policies with borrowing and shortsale constraints88 cited
  • 2014Transaction costs, trading volume, and the liquidity premium88 cited
  • 2001Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies87 cited
  • 2010Limits of Arbitrage: The State of the Theory83 cited