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Portfolio Choice with Endogenous Utility: A Large Deviations Approach
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Portfolio Choice with Endogenous Utility: A Large Deviations Approach (2003)Portfolio Choice with Endogenous Utility:…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Distributional Characteristics of Emerging Market Returns and Asset Allocation (1998)Distributional Characteristic…The Equity Premium: It's Still a Puzzle (1996)The Equity Premium: It's Stil…The Equity Premium: It's Still a Puzzle (1995)The Equity Premium: It's Stil…Option pricing by Esscher transforms. (1995)Option pricing by Esscher tra…Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimal Investment Policies f…On the Risk of Stocks in the Long Run (1995)On the Risk of Stocks in the …072103 (E50, M20) Option pricing by Esscher transforms (1995)072103 (E50, M20) Option pric…Asset Prices in an Exchange Economy with Habit Formation (1991)Asset Prices in an Exchange E…Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment (1988)Asymptotic Optimality and Asy…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Mean-Variance Versus Direct Utility Maximization (1984)Mean-Variance Versus Direct U…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …PORTFOLIO SELECTION* (1952)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 relationship between return and market value of common stocks (1981)… and the Cross-Section of Expected Returns (2015)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Risk Aversion in the Small and in the Large (1976)A Theory of the Term Structure of Interest Rates (1985)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Determinants of Credit Spread Changes (2001)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Optimum consumption and portfolio rules in a continuous-time model (1971)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)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Option pricing: A simplified approach (1979)On the Time Value of Ruin (1998)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Asset Prices in an Exchange Economy (1978)Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Risks and Portfolio Decisions Involving Hedge Funds (2003)Familiarity Breeds Investment (2001)Investor Psychology and Asset Pricing (2001)Prospect Theory and Asset Prices (2001)Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Myopic Loss Aversion and the Equity Premium Puzzle (1993)Hyperbolic Distributions in Finance (1995)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Arbitrage Theory in Continuous Time (2004)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1996The Equity Premium: It's Still a Puzzle944 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices858 cited
  • 1995072103 (E50, M20) Option pricing by Esscher transforms656 cited
  • 1995Option pricing by Esscher transforms.651 cited
  • 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin607 cited
  • 1995The Equity Premium: It's Still a Puzzle569 cited
  • 1984Mean-Variance Versus Direct Utility Maximization527 cited
  • 1998Distributional Characteristics of Emerging Market Returns and Asset Allocation397 cited
  • 1995On the Risk of Stocks in the Long Run345 cited
  • 1988Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment343 cited

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  • 1991Asset Prices in an Exchange Economy with Habit Formation298 cited
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