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ArticleOn dynamic investment strategies

John C. Cox2000

Article2000

On dynamic investment strategies

John C. Cox · Hayne E. Leland

80 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1979Option pricing: A simplified approach 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1979Martingales and arbitrage in multiperiod securities markets 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming 1983A stochastic calculus model of continuous trading: Complete markets

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2003Capital growth with security 2005Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication 2007Optimal approximations for risk measures of sums of lognormals based on conditional expectations 2011Locally Capped Investment Products and the RetailInvestor 2014Explicit Representation of Cost-Efficient Strategies 2008The design of equity-indexed annuities

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Year2000

Typearticle

Published2000-10-01

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations80

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0165-1889(99)00095-0

openalex_workW1994841189

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2003Portfolio Choice Theory with Non-Gaussian Distributed Returns

1997Recovery of Preferences from Observed Wealth in a Single Realization