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Consumption-Portfolio Policies: An Inverse Optimal Problem
3 references·3 citing·27 second hop
Consumption-Portfolio Policies: An Inverse Optimal Problem (1994)Consumption-Portfolio Policies: An Invers…The design of equity-indexed annuities (2008)The design of equity-indexed …Horizon Length and Portfolio Risk (2002)Horizon Length and Portfolio …Efficient Trading Strategies in the Presence of Market Frictions (2001)Efficient Trading Strategies …Dynamically consistent investment under model uncertainty: the robust forward criteria (2018)Dynamically consistent invest…Risk Aversion and Portfolio Selection in a Continuous-Time Model (2011)Risk Aversion and Portfolio S…A Revealed Preference Theory for Non‐expected Utility on “Certain × Uncertain” Consumption Pairs (1998)A Revealed Preference Theory …The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Option pricing: A simplified approach (1979)Reward–risk portfolio selection and stochastic dominance (2004)On the optimal risk allocation problem (2006)Stochastic Dominance Bounds on American Option Prices in Markets with Frictions (2007)Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Representation of a preference ordering by a numerical function (2008)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Brownian Motion and Stochastic Calculus (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets (2009)On the optimal design of insurance contracts with guarantees (2010)Moment matching machine learning methods for risk management of large variable annuity portfolios (2017)Precautionary Saving in the Small and in the Large (1989)Precautionary Saving in the Small and in the Large (1990)Household Portfolios in Italy (2002)Heterogeneity and Portfolio Choice: Theory and Evidence (2010)Environmental, Social and Governance (ESG) and Investment Decision in Bangladesh (2018)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion (2019)Theory of games and economic behavior (2019)
this work references cited by second hop

References

  • 2002Horizon Length and Portfolio Risk101 cited
  • 2001Efficient Trading Strategies in the Presence of Market Frictions96 cited
  • 2008The design of equity-indexed annuities46 cited

Cited by

  • 2018Dynamically consistent investment under model uncertainty: the robust forward criteria29 cited
  • 2011Risk Aversion and Portfolio Selection in a Continuous-Time Model24 cited
  • 1998A Revealed Preference Theory for Non‐expected Utility on “Certain × Uncertain” Consumption Pairs0 cited

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