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A Markov Model of the Term Structure
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A Markov Model of the Term Structure (1966)A Markov Model of the Term StructureNash equilibrium strategy for a multi-period mean–variance portfolio selection problem with regime switching (2015)Nash equilibrium strategy for…HARA frontiers of optimal portfolios in stochastic markets (2011)HARA frontiers of optimal por…Intelligible factors for the yield curve (2010)Intelligible factors for the …Portfolio selection in stochastic markets with exponential utility functions (2008)Portfolio selection in stocha…A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL (2003)A COMPLETE YIELD CURVE DESCRI…Mortgages and Markov Chains: A Simplified Evaluation Model (1993)Mortgages and Markov Chains: …A Model for Corporate Debt Maturity Decisions (1976)A Model for Corporate Debt Ma…Optimal Inventory and Credit-Granting Strategies Under Inflation and Devaluation (1973)Optimal Inventory and Credit-…THE ECONOMIC VALUE OF THE CALL OPTION* (1972)THE ECONOMIC VALUE OF THE CAL…DYNAMIC PROGRAMMING APPLICATIONS IN FINANCE (1971)DYNAMIC PROGRAMMING APPLICATI…An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Stochastic volatility Gaussian Heath-Jarrow-Morton models (2004)The Value of the Call Option on a Bond (1966)Optimal Timing of Bond Refunding (1967)Dynamic Programming Applications in Finance (1971)Interest Rate Uncertainty and the Value of Bond Call Protection (1978)"Putting" Away Bond Risk: An Empirical Examination of the Value of the Put Option on Bonds (1986)Risk Aversion in the Small and in the Large (1964)Optimum consumption and portfolio rules in a continuous-time model (1971)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Time-consistent investment policies in Markovian markets: A case of mean–variance analysis (2014)Chance-constrained optimization for pension fund portfolios in the presence of default risk (2016)Mean–variance portfolio selection under a non-Markovian regime-switching model (2018)Optimal Multiperiod Portfolio Policies (1968)Financial Management and Policy (1969)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Applying Operations Research Techniques to Financial Markets (2003)The Effect of Refinancing Costs and Market Imperfections on the Optimal Call Strategy and the Pricing of Debt Contracts (2005)Short-term Stock Market Timing Prediction under Reinforcement Learning Schemes (2007)PORTFOLIO SELECTION* (1952)Myopia and Inconsistency in Dynamic Utility Maximization (1955)Myopia and Inconsistency in Dynamic Utility Maximization (1973)Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows (2016)Time consistent fuzzy multi-period rolling portfolio optimization with adaptive risk aversion factor (2017)Multi-period project portfolio selection under risk considerations and stochastic income (2018)The Credit Granting Decision (1970)The impact of U.S. devaluations on the stock prices of multinational corporations (1976)Management of Accounts Receivable under Inflation (1983)THE IMPACT OF INFLATION ON CAPITAL BUDGETING AND WORKING CAPITAL (1996)The Structure of Interest Rates (1940)The Cyclical Behavior of the Term Structure of Interest Rates (1970)Term Structure of Interest Rates (2011)Martingales and arbitrage in multiperiod securities markets (1979)Theory of rational option pricing (2005)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the equivalence of quadratic optimization problems commonly used in portfolio theory (2013)On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability (2015)Parsimonious Modeling of Yield Curves (1987)Reaction of Swiss term premia to monetary policy surprises (2010)A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions (2021)
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Cited by

  • 2008Portfolio selection in stochastic markets with exponential utility functions47 cited
  • 1971DYNAMIC PROGRAMMING APPLICATIONS IN FINANCE41 cited
  • 2015Nash equilibrium strategy for a multi-period mean–variance portfolio selection problem with regime switching35 cited
  • 2011HARA frontiers of optimal portfolios in stochastic markets32 cited
  • 1993Mortgages and Markov Chains: A Simplified Evaluation Model27 cited
  • 2003A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL26 cited
  • 1972THE ECONOMIC VALUE OF THE CALL OPTION*25 cited
  • 1973Optimal Inventory and Credit-Granting Strategies Under Inflation and Devaluation20 cited
  • 2010Intelligible factors for the yield curve18 cited
  • 1976A Model for Corporate Debt Maturity Decisions18 cited

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