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On the History of the Growth-Optimal Portfolio
16 references·0 citing·33 second hop
On the History of the Growth-Optimal Portfolio (2012)On the History of the Growth-Optimal Port…Notes On The Theory Of Choice (2018)Notes On The Theory Of ChoiceA General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…How to use expert advice (1997)How to use expert adviceConvex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…The equity premium: A puzzle (1985)The equity premium: A puzzleMartingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …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 …Risk and uncertainty: a fallacy of large numbers (1963)Risk and uncertainty: a falla…Exposition of a New Theory on the Measurement of Risk (1954)Exposition of a New Theory on…Safety First and the Holding of Assets (1952)Safety First and the Holding …Aspects of the Theory of Risk-Bearing. (1966)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 Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)On the Measurement of Poverty (1987)An Engine, Not a Camera (2006)Bank activity and funding strategies: The impact on risk and returns☆ (2010)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Risk Aversion and Incentive Effects (2002)A perspective on judgment and choice: Mapping bounded rationality. (2003)Maps of Bounded Rationality: Psychology for Behavioral Economics (2003)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1954Exposition of a New Theory on the Measurement of Risk2,787 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 1997How to use expert advice631 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 1963Risk and uncertainty: a fallacy of large numbers615 cited
  • 2018Notes On The Theory Of Choice

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