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Optimal Saving and Risk in Continuous Time
2 references·3 citing·26 second hop
Optimal Saving and Risk in Continuous Time (1978)Optimal Saving and Risk in Continuous TimeAn Asymptotic Theory of Growth Under Uncertainty (1975)An Asymptotic Theory of Growt…Existence of equilibria in economies with infinitely many commodities (1972)Existence of equilibria in ec…Valuation and martingale properties of shadow prices: An exposition (2000)Valuation and martingale prop…Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments (1990)Conditions for optimality in …The shadow price of information in continuous time decision problems (1987)The shadow price of informati…Optimum consumption and portfolio rules in a continuous-time model (1971)Martingales and stochastic integrals in the theory of continuous trading (1981)Utility Maximisation in Incomplete Markets (2004)POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS (2011)The Theory of Political Economy (2013)Martingales and arbitrage in multiperiod securities markets (1979)An Intertemporal General Equilibrium Model of Asset Prices (1985)Challenges in stochastic programming (1996)Sequential Importance Sampling Algorithms for Dynamic Stochastic Programming (2006)Convex Duality in Stochastic Optimization and Mathematical Finance (2011)A Mathematical Theory of Saving (1928)An Intertemporal Capital Asset Pricing Model (1973)Uncertainty in the Theory of Renewable Resource Markets (1984)Intergenerational risk sharing (1988)Robustness and Pricing with Uncertain Growth (2002)Theory of Rational Option Pricing (1973)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Chapter 12 Incomplete Markets (2007)In which financial markets do mutual fund theorems hold true? (2008)Theory of Value (1959)General competitive analysis (1971)The Role of Securities in the Optimal Allocation of Risk-bearing (1973)Arbitrage and equilibrium in economies with infinitely many commodities (1981)Existence of maximal elements and equilibria in linear topological spaces (1983)Do Markets Favor Agents able to Make Accurate Predictions? (2000)
this work references cited by second hop

References

  • 1972Existence of equilibria in economies with infinitely many commodities545 cited
  • 1975An Asymptotic Theory of Growth Under Uncertainty322 cited

Cited by

  • 1987The shadow price of information in continuous time decision problems42 cited
  • 1990Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments39 cited
  • 2000Valuation and martingale properties of shadow prices: An exposition28 cited

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