SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
On dynamic investment strategies
15 references·12 citing·35 second hop
On dynamic investment strategies (2000)On dynamic investment strategiesA stochastic calculus model of continuous trading: Complete markets (1983)A stochastic calculus model o…Who Should Buy Portfolio Insurance? (1980)Who Should Buy Portfolio Insu…THE ACCUMULATION OF RISKY CAPITAL: A SEQUENTIAL UTILITY ANALYSIS (1980)THE ACCUMULATION OF RISKY CAP…Option pricing: A simplified approach (1979)Option pricing: A simplified …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Mutual fund separation in financial theory—The separating distributions (1978)Mutual fund separation in fin…OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966. (1975)OPTIMAL INVESTMENT AND CONSUM…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions (1970)Optimal Investment and Consum…Optimal Savings Under Uncertainty (1969)Optimal Savings Under Uncerta…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …The Accumulation of Risky Capital: A Sequential Utility Analysis (1962)The Accumulation of Risky Cap…Explicit Representation of Cost-Efficient Strategies (2014)Explicit Representation of Co…Variable annuities and the option to seek risk: Why should you diversify? (2012)Variable annuities and the op…Explicit Representation of Cost-Efficient Strategies (2012)Explicit Representation of Co…Locally Capped Investment Products and the RetailInvestor (2011)Locally Capped Investment Pro…A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets (2009)A Note on the Suboptimality o…The design of equity-indexed annuities (2008)The design of equity-indexed …Optimal approximations for risk measures of sums of lognormals based on conditional expectations (2007)Optimal approximations for ri…Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication (2005)Who Needs Hedge Funds? A Copu…Portfolio Choice Theory with Non-Gaussian Distributed Returns (2003)Portfolio Choice Theory with …Capital growth with security (2003)Capital growth with securityRecovery of Preferences from Observed Wealth in a Single Realization (1997)Recovery of Preferences from …Quasi Mean Reversion in an Efficient Stock Market: The Characterisation of Economic Equilibria which Support Black-Scholes Option Pricing (1993)Quasi Mean Reversion in an Ef…Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Calcul Stochastique et Problèmes de Martingales (1979)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Martingales and stochastic integrals in the theory of continuous trading (1981)On the pricing of American options (1988)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Option pricing and Esscher transform under regime switching (2005)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)The Economic Theory of Agency: The Principal's Problem. (1973)Prices of State-Contingent Claims Implicit in Option Prices (1978)Optimal positioning in derivative securities (2001)The new financial order: risk in the 21st century (2003)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)Theory of Rational Option Pricing (1973)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)ON THE THEORY OF FINANCIAL INTERMEDIATION (1971)Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods (1974)Modern portfolio theory, 1950 to date (2011)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1983A stochastic calculus model of continuous trading: Complete markets431 cited
  • 1980Who Should Buy Portfolio Insurance?392 cited
  • 1970Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions347 cited
  • 1975OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966.347 cited
  • 1978Mutual fund separation in financial theory—The separating distributions345 cited
  • 1969Optimal Savings Under Uncertainty334 cited
  • 1962The Accumulation of Risky Capital: A Sequential Utility Analysis164 cited
  • 1980

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

THE ACCUMULATION OF RISKY CAPITAL: A SEQUENTIAL UTILITY ANALYSIS
129 cited

Cited by

  • 2003Capital growth with security70 cited
  • 2005Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication69 cited
  • 2007Optimal approximations for risk measures of sums of lognormals based on conditional expectations56 cited
  • 2011Locally Capped Investment Products and the RetailInvestor51 cited
  • 2014Explicit Representation of Cost-Efficient Strategies47 cited
  • 2008The design of equity-indexed annuities46 cited
  • 2003Portfolio Choice Theory with Non-Gaussian Distributed Returns43 cited
  • 1997Recovery of Preferences from Observed Wealth in a Single Realization39 cited
  • 1993Quasi Mean Reversion in an Efficient Stock Market: The Characterisation of Economic Equilibria which Support Black-Scholes Option Pricing38 cited
  • 2012Explicit Representation of Cost-Efficient Strategies29 cited
  • 2009A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets26 cited
  • 2012Variable annuities and the option to seek risk: Why should you diversify?19 cited