SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Optimal Portfolio Selection with Transaction Costs
16 references·2 citing·31 second hop
Optimal Portfolio Selection with Transaction Costs (1997)Optimal Portfolio Selection with Transact…Theory of rational option pricing (2005)Theory of rational option pri…Stochastic Differential Equations (2003)Stochastic Differential Equat…Continuous-Time Finance. (1991)Continuous-Time Finance.Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Foundations for Financial Economics. (1989)Foundations for Financial Eco…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…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 …Introduction to Operations Research (1968)Introduction to Operations Re…A BSDE approach to risk-based asset allocation of pension funds with regime switching (2012)A BSDE approach to risk-based…Investing for Retirement (2000)Investing for RetirementEFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)A pricing method for options based on average asset values (1990)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Health-Status Index and its Application to Health-Services Outcomes (1970)A game theory approach to measuring the performance reliability of transport networks (2000)The total cost of logistics in supplier selection, under conditions of multiple sourcing, multiple criteria and capacity constraint (2001)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1968Introduction to Operations Research3,405 cited
  • 2003Stochastic Differential Equations2,978 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • 1989Foundations for Financial Economics.831 cited

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

Cited by

  • 2012A BSDE approach to risk-based asset allocation of pension funds with regime switching38 cited
  • 2000Investing for Retirement33 cited