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Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
16 references·1 citing·29 second hop
Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption (2014)Necessary and sufficient conditions in th…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…The numéraire portfolio in semimartingale financial models (2007)The numéraire portfolio in se…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets (1996)Optional decomposition of sup…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…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…Optimization Problems in the Theory of Continuous Trading (1989)Optimization Problems in the …Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…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 …Optimal investment with intermediate consumption under no unbounded profit with bounded risk (2017)Optimal investment with inter…The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Strategic Asset Allocation (2002)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)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)A Theory of the Term Structure of Interest Rates (1985)Theory of rational option pricing (2005)Tails, Fears, and Risk Premia (2011)Theory of Rational Option Pricing (1973)Arbitrage Theory in Continuous Time (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)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)Does Option Compensation Increase Managerial Risk Appetite? (2000)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 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
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 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
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 1991Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case436 cited
  • 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets324 cited

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  • 2007The numéraire portfolio in semimartingale financial models320 cited
  • 1989Optimization Problems in the Theory of Continuous Trading284 cited
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    • 2017Optimal investment with intermediate consumption under no unbounded profit with bounded risk31 cited