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Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets
16 references·16 citing·34 second hopsampled
Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets (2004)Optimal Consumption and Investment with T…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation (2001)Learning about Predictability…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Numerical Methods in Economics (1998)Numerical Methods in EconomicsOn the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)On the Predictability of Stoc…Optimal Investment and Consumption with Transaction Costs (1994)Optimal Investment and Consum…Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…A Model of Competitive Stock Trading Volume (1994)A Model of Competitive Stock …Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods (1990)Asset Pricing and Optimal Por…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Dynamic Portfolio Choice with Linear Rebalancing Rules (2017)Dynamic Portfolio Choice with…Multiperiod portfolio optimization with multiple risky assets and general transaction costs (2016)Multiperiod portfolio optimiz…Dynamic portfolio choice with frictions (2016)Dynamic portfolio choice with…Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs (2015)Parameter Uncertainty in Mult…Market Liquidity—Theory and Empirical Evidence (2013)Market Liquidity—Theory and E…Market Liquidity -- Theory and Empirical Evidence (2012)Market Liquidity -- Theory an…Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio (2011)Trading frequency and asset p…Portfolio Choice Problems (2010)Portfolio Choice ProblemsMultiple Risky Assets, Transaction Costs, and Return Predictability: Allocation Rules and Implications for U.S. Investors (2010)Multiple Risky Assets, Transa…Dynamic Trading with Predictable Returns and Transaction Costs (2009)Dynamic Trading with Predicta…Does health affect portfolio choice? (2009)Does health affect portfolio …Rational Inattention and Portfolio Selection (2007)Rational Inattention and Port…Liquidity Premia and Transaction Costs (2007)Liquidity Premia and Transact…OPTIMAL DIVIDEND POLICY WITH MEAN‐REVERTING CASH RESERVOIR (2006)OPTIMAL DIVIDEND POLICY WITH …MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS (2006)MULTIDIMENSIONAL PORTFOLIO OP…Option pricing with an illiquid underlying asset market (2005)Option pricing with an illiqu…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Mean field games (2007)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)An Intertemporal Capital Asset Pricing Model (1973)Business conditions and expected returns on stocks and bonds (1989)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Strategic Asset Allocation (2002)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Optimal control of execution costs (1998)Corporate Yield Spreads and Bond Liquidity (2007)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)A general version of the fundamental theorem of asset pricing (1994)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1998Numerical Methods in Economics2,587 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1994Controlled markov processes and viscosity solutions1,024 cited
  • 1994A Model of Competitive Stock Trading Volume913 cited
  • 1996On the Predictability of Stock Returns: An Asset‐Allocation Perspective730 cited
  • 1994Optimal Investment and Consumption with Transaction Costs622 cited
  • 1990Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods518 cited

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2001
Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation
450 cited

Cited by

  • 2010Portfolio Choice Problems325 cited
  • 2016Dynamic portfolio choice with frictions202 cited
  • 2007Liquidity Premia and Transaction Costs165 cited
  • 2007Rational Inattention and Portfolio Selection160 cited
  • 2011Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio146 cited
  • 2005Option pricing with an illiquid underlying asset market134 cited
  • 2006MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS126 cited
  • 2009Dynamic Trading with Predictable Returns and Transaction Costs111 cited
  • 2009Does health affect portfolio choice?108 cited
  • 2013Market Liquidity—Theory and Empirical Evidence101 cited
  • 2010Multiple Risky Assets, Transaction Costs, and Return Predictability: Allocation Rules and Implications for U.S. Investors86 cited
  • 2006OPTIMAL DIVIDEND POLICY WITH MEAN‐REVERTING CASH RESERVOIR84 cited
  • 2017Dynamic Portfolio Choice with Linear Rebalancing Rules61 cited
  • 2016Multiperiod portfolio optimization with multiple risky assets and general transaction costs55 cited
  • 2012Market Liquidity -- Theory and Empirical Evidence54 cited
  • 2015Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs54 cited