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Optimal portfolio for a small investor in a market model with discontinuous prices
16 references·16 citing·34 second hopsampled
Optimal portfolio for a small investor in a market model with discontinuous prices (1990)Optimal portfolio for a small investor in…IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES (2005)IMPLEMENTING ARROW-DEBREU EQU…Optimization Problems in the Theory of Continuous Trading (1989)Optimization Problems in the …On the pricing of American options (1988)On the pricing of American op…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities (1985)Implementing Arrow-Debreu Equ…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Stochastic Differential Equations and Diffusion Processes (1981)Stochastic Differential Equat…Point Processes and Queues (1981)Point Processes and QueuesMartingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesMartingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…The valuation of options for alternative stochastic processes (1976)The valuation of options for …Stochastic Differential Equations and Applications (1976)Stochastic Differential Equat…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Robust Consumption and Portfolio Policies When Asset Prices Can Jump (2017)Robust Consumption and Portfo…Portfolio Choice in Markets with Contagion (2015)Portfolio Choice in Markets w…Portfolio Selection: A Review (2012)Portfolio Selection: A ReviewPortfolio choice with jumps: a closed-form solution (2009)Portfolio choice with jumps: …Portfolio choice with jumps: A closed-form solution (2009)Portfolio choice with jumps: …Mean-Variance Hedging When There Are Jumps (2005)Mean-Variance Hedging When Th…Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model (2004)Estimation of the Characteris…Nonlinear integro-differential evolution problems arising in option pricing: a viscosity solutions approach (2003)Nonlinear integro-differentia…Jump-Diffusion Models (2003)Jump-Diffusion ModelsSystemic Risk and International Portfolio Choice (2002)Systemic Risk and Internation…Dynamic Asset Allocation With Event Risk (2002)Dynamic Asset Allocation With…A partial introduction to financial asset pricing theory (2001)A partial introduction to fin…Insider Trading in a Continuous Time Market Model (1998)Insider Trading in a Continuo…Stochastic time changes in catastrophe option pricing (1997)Stochastic time changes in ca…Numerical Analysis of American Option Pricing in a Jump-Diffusion Model (1997)Numerical Analysis of America…Optimal Consumption‐Portfolio Policies With Habit Formation 1 (1992)Optimal Consumption‐Portfolio…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Theory of Rational Option Pricing (1973)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Value of Waiting to Invest (1982)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)An Exact Bond Option Formula (1989)A pricing method for options based on average asset values (1990)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1981Point Processes and Queues1,652 cited
  • 1976Stochastic Differential Equations and Applications1,378 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1981Stochastic Differential Equations and Diffusion Processes597 cited
  • 1988On the pricing of American options382 cited
  • 2005IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES351 cited
  • 1985Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities296 cited

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  • 1989Optimization Problems in the Theory of Continuous Trading284 cited
  • Cited by

    • 1998Insider Trading in a Continuous Time Market Model134 cited
    • 2009Portfolio choice with jumps: A closed-form solution101 cited
    • 1997Numerical Analysis of American Option Pricing in a Jump-Diffusion Model101 cited
    • 2004Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model95 cited
    • 2003Jump-Diffusion Models91 cited
    • 2015Portfolio Choice in Markets with Contagion88 cited
    • 2009Portfolio choice with jumps: a closed-form solution85 cited
    • 1992Optimal Consumption‐Portfolio Policies With Habit Formation 184 cited
    • 2002Dynamic Asset Allocation With Event Risk79 cited
    • 2005Mean-Variance Hedging When There Are Jumps78 cited
    • 2002Systemic Risk and International Portfolio Choice68 cited
    • 1997Stochastic time changes in catastrophe option pricing64 cited
    • 2003Nonlinear integro-differential evolution problems arising in option pricing: a viscosity solutions approach62 cited
    • 2012Portfolio Selection: A Review55 cited
    • 2017Robust Consumption and Portfolio Policies When Asset Prices Can Jump52 cited
    • 2001A partial introduction to financial asset pricing theory46 cited