SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM
16 references·0 citing·37 second hop
A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM (2013)A TRANSFORMATION METHOD FOR SOLVING THE H…Finite Horizon Optimal Investment and Consumption with Transaction Costs (2009)Finite Horizon Optimal Invest…Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem (2008)Finite-horizon optimal invest…MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS (2006)MULTIDIMENSIONAL PORTFOLIO OP…On the risk‐adjusted pricing‐methodology‐based valuationof vanilla options and explanation of the volatility smile (2005)On the risk‐adjusted pricing‐…An example of indifference prices under exponential preferences (2004)An example of indifference pr…Optimal consumption–portfolio choices and retirement planning (2003)Optimal consumption–portfolio…Risk-Constrained Dynamic Active Portfolio Management (2000)Risk-Constrained Dynamic Acti…Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimal Investment Policies f…Numerical schemes for investment models with singular transactions (1994)Numerical schemes for investm…Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…Consumption-Investment Models with Constraints (1994)Consumption-Investment Models…Explicit Solution of a General Consumption/Investment Problem (1986)Explicit Solution of a Genera…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…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 …Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Portfolio Selection (1952)Life-Cycle Portfolio Choice with Additive Habit Formation Preferences and Uninsurable Labor Income Risk (2006)Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated (2007)Generation Y vs. Baby Boomers: Shopping behavior, buyer involvement and implications for retailing (2013)Aspects of the Theory of Risk-Bearing. (1966)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)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)Optimal replication of contingent claims under transaction costs (1989)Convex measures of risk and trading constraints (2002)Dynamic exponential utility indifference valuation (2005)MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE (2010)Paris-Princeton Lectures on Mathematical Finance 2010 (2010)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Portfolio Selection with Transaction Costs (1990)Optimal investment for insurers (2000)Exponential Hedging and Entropic Penalties (2002)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Brownian Motion and Stochastic Calculus (2007)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)A solution approach to valuation with unhedgeable risks (2001)Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints (2002)Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application (1983)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Mean field games (2007)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)On the measurement of inequality (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)The arbitrage theory of capital asset pricing (1976)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1994Controlled markov processes and viscosity solutions1,058 cited
  • 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin607 cited
  • 1986Explicit Solution of a General Consumption/Investment Problem387 cited
  • 2004An example of indifference prices under exponential preferences266 cited
  • 2003Optimal consumption–portfolio choices and retirement planning167 cited
  • 1994Consumption-Investment Models with Constraints142 cited
  • 2008Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem141 cited
  • 2006MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS126 cited
  • 2000Risk-Constrained Dynamic Active Portfolio Management105 cited
  • 2005On the risk‐adjusted pricing‐methodology‐based valuationof vanilla options and explanation of the volatility smile83 cited
  • 2009

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Finite Horizon Optimal Investment and Consumption with Transaction Costs
71 cited
  • 1994Numerical schemes for investment models with singular transactions50 cited
  • Cited by

    No citing works inside the corpus for this window.