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Illiquid Assets and Optimal Portfolio Choice
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Illiquid Assets and Optimal Portfolio Choice (2006)Illiquid Assets and Optimal Portfolio Cho…Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation (2015)Utility maximization with cur…Income drawdown option with minimum guarantee (2013)Income drawdown option with m…EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS (2013)EUROPEAN OPTION PRICING WITH …Linking wealth and labour income with stock returns and government bond yields (2012)Linking wealth and labour inc…A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES (2008)A MODEL OF OPTIMAL CONSUMPTIO…Brownian motion and stochastic calculus (1991)Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochastic Calculus (2007)Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model (2016)Analytical valuation for geometric Asian options in illiquid markets (2018)A closed-form pricing formula for European options in an illiquid asset market (2022)Optimum consumption and portfolio rules in a continuous-time model (1971)Portfolio Selection with Transaction Costs (1990)Methods of Mathematical Finance (1998)Optimal Portfolio Liquidation with Execution Cost and Risk (2010)Mean–Variance portfolio selection in presence of infrequently traded stocks (2013)Investment/Consumption Problem in Illiquid Markets with Regime-Switching (2014)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Fiscal Policy Shocks and the Dynamics of Asset Prices (2013)Consumption, wealth, stock and housing returns: Evidence from emerging markets (2015)Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors (2015)American Economic Review (2019)Controlled Markov Processes and Viscosity Solutions (2005)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)
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  • 2008A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES46 cited
  • 2013EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS36 cited
  • 2012Linking wealth and labour income with stock returns and government bond yields36 cited
  • 2013Income drawdown option with minimum guarantee30 cited
  • 2015Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation24 cited

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