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Dynamic allocation decisions in the presence of funding ratio constraints
16 references·1 citing·36 second hop
Dynamic allocation decisions in the presence of funding ratio constraints (2012)Dynamic allocation decisions in the prese…Equilibrium prices in the presence of delegated portfolio management (2011)Equilibrium prices in the pre…Dynamic Asset Allocation with Event Risk (2003)Dynamic Asset Allocation with…Dynamic Asset Allocation under Inflation (2002)Dynamic Asset Allocation unde…Optimal investment in incomplete markets when wealth may become negative (2001)Optimal investment in incompl…Equilibrium Analysis of Portfolio Insurance (1996)Equilibrium Analysis of Portf…Theory of constant proportion portfolio insurance (1992)Theory of constant proportion…Continuous-Time Finance. (1991)Continuous-Time Finance.Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Consumption and portfolio pol…Liabilities— A New Approach (1990)Liabilities— A New ApproachHedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Who Should Buy Portfolio Insurance? (1980)Who Should Buy Portfolio Insu…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Equity Portfolios with Improved Liability-Hedging Benefits (2017)Equity Portfolios with Improv…Optimum consumption and portfolio rules in a continuous-time model (1971)The Pricing of Options and Corporate Liabilities (1973)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)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 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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks (2004)Systemic Risk and International Portfolio Choice (2004)International asset allocation under regime switching, skew, and kurtosis preferences (2008)Martingales and stochastic integrals in the theory of continuous trading (1981)Option pricing and Esscher transform under regime switching (2005)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)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)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Monte Carlo Method for Optimal Portfolios (2003)Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing (2004)Asset allocation under multivariate regime switching (2007)
this work references cited by second hop

References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1991Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case436 cited
  • 2003Dynamic Asset Allocation with Event Risk415 cited
  • 2002Dynamic Asset Allocation under Inflation411 cited
  • 1992Theory of constant proportion portfolio insurance403 cited
  • 1980Who Should Buy Portfolio Insurance?392 cited
  • 1990Liabilities— A New Approach340 cited
  • 2011Equilibrium prices in the presence of delegated portfolio management308 cited
  • 1996Equilibrium Analysis of Portfolio Insurance299 cited
  • 2001

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Optimal investment in incomplete markets when wealth may become negative
246 cited

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  • 2017Equity Portfolios with Improved Liability-Hedging Benefits18 cited