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MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS
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MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS (2009)MAXIMIZING THE GROWTH RATE UNDER RISK CON…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Coherent multiperiod risk adjusted values and Bellman’s principle (2006)Coherent multiperiod risk adj…Dynamic coherent risk measures (2004)Dynamic coherent risk measuresPutting order in risk measures (2002)Putting order in risk measuresConvex measures of risk and trading constraints (2002)Convex measures of risk and t…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Coherent Measures of Risk (1999)Coherent Measures of RiskMethods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)OPTIMAL INVESTMENT STRATEGIES…Universal Portfolios (1991)Universal PortfoliosStock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…Optimal Stopping and the American Put (1991)Optimal Stopping and the Amer…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 …Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)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)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Conditional value-at-risk for general loss distributions (2002)Theory of rational option pricing (2005)Lectures on Stochastic Programming (2009)Convex Duality in Constrained Portfolio Optimization (1992)Stochastic Finance: An Introduction in Discrete Time (2002)Theory and Applications of Robust Optimization (2011)Distributionally Robust Convex Optimization (2014)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Empirical Performance of Alternative Option Pricing Models (1997)Asset Prices in an Exchange Economy (1978)Risks and Portfolio Decisions Involving Hedge Funds (2003)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)A Jump-Diffusion Model for Option Pricing (2002)Arbitrage Theory in Continuous Time (2004)Intermediary Asset Pricing (2013)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2007Brownian Motion and Stochastic Calculus7,544 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1998Methods of Mathematical Finance2,335 cited
  • 1998Brownian Motion and Stochastic Calculus2,219 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 1998Methods of Mathematical Finance888 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices858 cited
  • 2002Putting order in risk measures684 cited
  • 1991Universal Portfolios581 cited
  • 1991Optimal Stopping and the American Put513 cited
  • 2006Coherent multiperiod risk adjusted values and Bellman’s principle409 cited
  • 2004Dynamic coherent risk measures400 cited
  • 1993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS384 cited

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