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Local risk-minimization under the benchmark approach
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Local risk-minimization under the benchmark approach (2014)Local risk-minimization under the benchma…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Stochastic Portfolio Theory: an Overview (2009)Stochastic Portfolio Theory: …The numéraire portfolio in semimartingale financial models (2007)The numéraire portfolio in se…A Benchmark Approach to Quantitative Finance (2006)A Benchmark Approach to Quant…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Stochastic Portfolio Theory (2002)Stochastic Portfolio TheoryThe numeraire portfolio for unbounded semimartingales (2001)The numeraire portfolio for u…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…On the minimal martingale measure and the möllmer-schweizer decomposition (1995)On the minimal martingale mea…The numeraire portfolio (1990)The numeraire portfolioHedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Forecasting: theory and practice (2022)Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Numerical solution of stochastic differential equations (2016)Volatility Is Rough (2018)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Correlation structure and dynamics in volatile markets (2010)THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL (2016)Martingales and arbitrage in multiperiod securities markets (1979)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Stochastic differential equations (2009)Tails, Fears, and Risk Premia (2011)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Overconfidence and Speculative Bubbles (2003)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1999Continuous Martingales and Brownian Motion6,253 cited
  • 2005Stochastic Integration and Differential Equations4,700 cited
  • 2003Limit Theorems for Stochastic Processes2,652 cited
  • 1997Martingale Methods in Financial Modelling1,093 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 1985Hedging of non-redundant contingent claims460 cited
  • 2006A Benchmark Approach to Quantitative Finance374 cited
  • 1995On the minimal martingale measure and the möllmer-schweizer decomposition321 cited
  • 2007The numéraire portfolio in semimartingale financial models320 cited
  • 1990The numeraire portfolio319 cited
  • 2002Stochastic Portfolio Theory249 cited
  • 2009Stochastic Portfolio Theory: an Overview169 cited
  • 2001The numeraire portfolio for unbounded semimartingales142 cited

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