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A Generalized Framework for Simultaneous Long-Short Feedback Trading
16 references·0 citing·39 second hop
A Generalized Framework for Simultaneous Long-Short Feedback Trading (2020)A Generalized Framework for Simultaneous …“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …On a New Paradigm for Stock Trading Via a Model-Free Feedback Controller (2015)On a New Paradigm for Stock T…Control: A perspective (2014)Control: A perspectiveOn performance limits of feedback control-based stock trading strategies (2011)On performance limits of feed…On arbitrage possibilities via linear feedback in an idealized Brownian Motion stock market (2011)On arbitrage possibilities vi…On Trading of Equities: A Robust Control Paradigm (2008)On Trading of Equities: A Rob…Reexamining the Profitability of Technical Analysis with Data Snooping Checks (2005)Reexamining the Profitability…Stochastic Differential Equations (2003)Stochastic Differential Equat…Stochastic Differential Equations (2003)Stochastic Differential Equat…Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Maximum Likelihood Estimation…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Universal Portfolios (1991)Universal PortfoliosON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Portfolio Selection: Efficient Diversification of Investments (1959)Adapted solution of a backward stochastic differential equation (1990)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Controlled Markov Processes and Viscosity Solutions (2005)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)Alternative models for stock price dynamics (2003)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Brownian Motion and Stochastic Calculus (2007)Variance Risk Premiums (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Portfolio Selection (1952)Essays in the Theory of Risk-Bearing. (1972)A desicion-theoretic generalization of on-line learning and an application to boosting (1995)A Decision-Theoretic Generalization of On-Line Learning and an Application to Boosting (1997)Bandit Algorithms (2020)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Modelling of extremal events in insurance and finance (1994)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)A Brief History of Generative Models for Power Law and Lognormal Distributions (2004)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)The Role of Portfolio Constraints in the International Propagation of Shocks (2008)Stochastic Differential Equations (2014)Numerical Solution of Stochastic Differential Equations (2016)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Stochastic Differential Equations3,081 cited
  • 2003Stochastic Differential Equations2,239 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited
  • 1991Universal Portfolios581 cited
  • 2014Control: A perspective309 cited
  • 2005Reexamining the Profitability of Technical Analysis with Data Snooping Checks189 cited
  • 2015On a New Paradigm for Stock Trading Via a Model-Free Feedback Controller53 cited
  • 2011On performance limits of feedback control-based stock trading strategies39 cited
  • 2011On arbitrage possibilities via linear feedback in an idealized Brownian Motion stock market37 cited

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2008
On Trading of Equities: A Robust Control Paradigm
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