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Stochastic optimization under constraints
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Stochastic optimization under constraints (2001)Stochastic optimization under constraintsA General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Utility maximization in incomplete markets with random endowment (2001)Utility maximization in incom…Efficient hedging: Cost versus shortfall risk (2000)Efficient hedging: Cost versu…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Mathematics of Derivative Securities (1998)Mathematics of Derivative Sec…Optional decompositions under constraints (1997)Optional decompositions under…Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income (1997)Optimal Consumption and Equil…Hedging in incomplete markets with HARA utility (1997)Hedging in incomplete markets…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…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Consumption and portfolio pol…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Point Processes and Queues (1981)Point Processes and QueuesOptimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Backward stochastic PDEs related to the utility maximization problem (2010)Backward stochastic PDEs rela…Probabilistic Aspects of Financial Risk (2001)Probabilistic Aspects of Fina…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Who Should Buy Long-Term Bonds? (2001)A Guided Tour through Quadratic Hedging Approaches (2010)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)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)An Intertemporal Capital Asset Pricing Model (1973)An Equilibrium Model with Restricted Stock Market Participation (1998)Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)Optimal Portfolio Choice under Loss Aversion (2004)Martingales and arbitrage in multiperiod securities markets (1979)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)The Pricing of Options and Corporate Liabilities (1973)Theory of rational option pricing (2005)Tails, Fears, and Risk Premia (2011)Theory of Rational Option Pricing (1973)Arbitrage Theory in Continuous Time (1998)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Modeling Term Structures of Defaultable Bonds (1999)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

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
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  • 1991Brownian motion and stochastic calculus2,089 cited
  • 1981Point Processes and Queues1,652 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
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  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
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  • 1991Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case436 cited
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  • 1997Hedging in incomplete markets with HARA utility246 cited
  • 2001Utility maximization in incomplete markets with random endowment

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229 cited
  • 1997Optional decompositions under constraints220 cited
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    • 2001Probabilistic Aspects of Financial Risk23 cited
    • 2010Backward stochastic PDEs related to the utility maximization problem21 cited