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Optimal consumption-portfolio policies: A convergence from discrete to continuous time models
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Optimal consumption-portfolio policies: A convergence from discrete to continuous time models (1991)Optimal consumption-portfolio policies: A…From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 (1992)From Discrete‐ to Continuous‐…Transactions costs and portfolio choice in a discrete-continuous-time setting (1990)Transactions costs and portfo…Convergence from Discrete- to Continuous-Time Contingent Claims Prices (1990)Convergence from Discrete- to…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…The Economics of Information and Uncertainty (1982)The Economics of Information …Multiperiod Securities and the Efficient Allocation of Risk: A Comment on the Black-Scholes Option Pricing Model (1982)Multiperiod Securities and th…Option pricing: A simplified approach (1979)Option pricing: A simplified …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Theory of Finance from the Perspective of Continuous Time (1975)Theory of Finance from the Pe…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 …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…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…The Pricing of Options and Corporate Liabilities (1973)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Theory of rational option pricing (2005)Theory of Games and Economic Behavior (1946)ON THE THEORY OF FINANCIAL INTERMEDIATION (1971)An Asymptotic Theory of Growth Under Uncertainty (1975)Modern portfolio theory, 1950 to date (2011)The equity premium: A puzzle (1985)Finite state markov-chain approximations to univariate and vector autoregressions (1986)Stock Returns, Expected Returns, and Real Activity (1990)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Multiperiod Consumption-Investment Decisions (1975)Universal Portfolios (1991)Aspects of Rational Insurance Purchasing (1992)Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods (1974)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
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References

  • 1979Option pricing: A simplified approach6,103 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 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
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1982The Economics of Information and Uncertainty861 cited
  • 1968Optimal Multiperiod Portfolio Policies779 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
  • 1990Convergence from Discrete- to Continuous-Time Contingent Claims Prices169 cited
  • 1990Transactions costs and portfolio choice in a discrete-continuous-time setting166 cited
  • 1992From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1111 cited
  • 1982Multiperiod Securities and the Efficient Allocation of Risk: A Comment on the Black-Scholes Option Pricing Model

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111 cited
  • 1975Theory of Finance from the Perspective of Continuous Time108 cited
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