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No Arbitrage and the Growth Optimal Portfolio
16 references·11 citing·26 second hop
No Arbitrage and the Growth Optimal Portfolio (2006)No Arbitrage and the Growth Optimal Portf…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Dynamic Asset Allocation with Event Risk (2003)Dynamic Asset Allocation with…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…On the minimal martingale measure and the möllmer-schweizer decomposition (1995)On the minimal martingale mea…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Asset pricing for general processes (1991)Asset pricing for general pro…The numeraire portfolio (1990)The numeraire portfolioAsymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment (1988)Asymptotic Optimality and Asy…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Optimal investment with intermediate consumption under no unbounded profit with bounded risk (2017)Optimal investment with inter…No-arbitrage up to random horizon for quasi-left-continuous models (2017)No-arbitrage up to random hor…WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS (2015)WEAK AND STRONG NO-ARBITRAGE …How non-arbitrage, viability and numéraire portfolio are related (2015)How non-arbitrage, viability …Pricing currency derivatives under the benchmark approach (2014)Pricing currency derivatives …BENCHMARKED RISK MINIMIZATION (2014)BENCHMARKED RISK MINIMIZATIONPortfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (2013)Portfolio optimisation under …On the History of the Growth-Optimal Portfolio (2012)On the History of the Growth-…On the semimartingale property of discounted asset-price processes (2011)On the semimartingale propert…M6—On Minimal Market Models and Minimal Martingale Measures (2010)M6—On Minimal Market Models a…Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing (2010)Finitely Additive Probabiliti…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Theory of rational option pricing (2005)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Tails, Fears, and Risk Premia (2011)LIBOR and swap market models and measures (1997)A Benchmark Approach to Quantitative Finance (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 2003Dynamic Asset Allocation with Event Risk415 cited
  • 1988Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment343 cited
  • 1995On the minimal martingale measure and the möllmer-schweizer decomposition321 cited
  • 1990The numeraire portfolio319 cited

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  • 1991Asset pricing for general processes203 cited
  • Cited by

    • 2010Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing68 cited
    • 2010M6—On Minimal Market Models and Minimal Martingale Measures51 cited
    • 2013Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model43 cited
    • 2015WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS42 cited
    • 2011On the semimartingale property of discounted asset-price processes42 cited
    • 2015How non-arbitrage, viability and numéraire portfolio are related39 cited
    • 2012On the History of the Growth-Optimal Portfolio35 cited
    • 2017Optimal investment with intermediate consumption under no unbounded profit with bounded risk31 cited
    • 2014Pricing currency derivatives under the benchmark approach30 cited
    • 2014BENCHMARKED RISK MINIMIZATION28 cited
    • 2017No-arbitrage up to random horizon for quasi-left-continuous models27 cited