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Explicit Representation of Cost-Efficient Strategies
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Explicit Representation of Cost-Efficient Strategies (2012)Explicit Representation of Cost-Efficient…A theory of systemic risk and design of prudential bank regulation (2009)A theory of systemic risk and…BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME (2008)BEHAVIORAL PORTFOLIO SELECTIO…An Introduction to Copulas (2006)An Introduction to CopulasOptimal Portfolio Choice under Loss Aversion (2004)Optimal Portfolio Choice unde…Hedge Fund Performance 1990-2000: Do the "Money Machines" Really Add Value? (2003)Hedge Fund Performance 1990-2…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Generalized Expected Utility Theory (1993)Generalized Expected Utility …Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …A pricing method for options based on average asset values (1990)A pricing method for options …Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…On Estimating the Expected Return on the Market: An Exploratory Investigation (1980)On Estimating the Expected Re…On estimating the expected return on the market (1980)On estimating the expected re…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Safety First and the Holding of Assets (1952)Safety First and the Holding …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Theory of Games and Economic Behavior (1947)Theory of Games and Economic …The Pricing of Options and Corporate Liabilities (1973)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)Strategic Asset Allocation (2002)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Theory of the Term Structure of Interest Rates (1985)Modeling and Forecasting Realized Volatility (2001)Does the stock market value bank diversification? (2007)Investor sentiment and the mean–variance relation☆ (2010)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Credit Rationing in Markets with Imperfect Information (1981)Corporate financing and investment decisions when firms have information that investors do not have (1984)Back to the basics in banking? A micro-analysis of banking system stability (2009)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)Where the Risks Lie: A Survey on Systemic Risk (2015)Asset Prices in an Exchange Economy (1978)Coherent Measures of Risk (1999)Testing Density Forecasts, With Applications to Risk Management (2001)How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)On the Measurement of Poverty (1987)An Engine, Not a Camera (2006)Bank activity and funding strategies: The impact on risk and returns☆ (2010)Subjectivity and correlation in randomized strategies (1974)The Health Utilities Index (HUI): concepts, measurement properties and applications. (2003)Games with Incomplete Information Played by “Bayesian” Players, I–III: Part I. The Basic Model (2004)Common risk factors in the returns on stocks and bonds (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

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  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 1947Theory of Games and Economic Behavior2,327 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
  • 2009A theory of systemic risk and design of prudential bank regulation831 cited
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  • 2004Optimal Portfolio Choice under Loss Aversion412 cited
  • 2003Hedge Fund Performance 1990-2000: Do the "Money Machines" Really Add Value?334 cited
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BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
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