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The General Structure of Optimal Investment and Consumption with Small Transaction Costs
16 references·3 citing·37 second hop
The General Structure of Optimal Investment and Consumption with Small Transaction Costs (2013)The General Structure of Optimal Investme…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Arbitrage Theory in Continuous Time (2004)Arbitrage Theory in Continuou…Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory (2000)Trading Volume: Definitions, …Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Dynamic Nonmyopic Portfolio Behavior (1996)Dynamic Nonmyopic Portfolio B…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…A Proposal for International Monetary Reform (1978)A Proposal for International …An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Lifetime investment and consumption with recursive preferences and small transaction costs (2020)Lifetime investment and consu…Portfolio choice with small temporary and transient price impact (2019)Portfolio choice with small t…Portfolio Optimization under Small Transaction Costs: a Convex Duality Approach (2013)Portfolio Optimization under …The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Optimal control of execution costs (1998)Corporate Yield Spreads and Bond Liquidity (2007)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2004Arbitrage Theory in Continuous Time940 cited
  • 1996Dynamic Nonmyopic Portfolio Behavior747 cited
  • 1978A Proposal for International Monetary Reform707 cited
  • 2000Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

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  • 2020Lifetime investment and consumption with recursive preferences and small transaction costs25 cited
  • 2019Portfolio choice with small temporary and transient price impact24 cited
  • 2013Portfolio Optimization under Small Transaction Costs: a Convex Duality Approach20 cited