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An Analysis of Dollar Cost Averaging and Market Timing Investment Strategies
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An Analysis of Dollar Cost Averaging and Market Timing Investment Strategies (2020)An Analysis of Dollar Cost Averaging and …Portfolio optimization with entropic value-at-risk (2019)Portfolio optimization with e…Mean-VaR portfolio optimization: A nonparametric approach (2017)Mean-VaR portfolio optimizati…Leverage constraints and asset prices: Insights from mutual fund risk taking (2017)Leverage constraints and asse…A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (2017)A general framework for discr…Household Need for Liquidity and the Credit Card Debt Puzzle (2013)Household Need for Liquidity …Measures of risk (2004)Measures of riskThe Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Non-Gaussian Merton-Black-Scholes Theory (2002)Non-Gaussian Merton-Black-Sch…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…OPTION PRICING FOR TRUNCATED LÉVY PROCESSES (2000)OPTION PRICING FOR TRUNCATED …The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy (1979)A Note on the Suboptimality o…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Finite state markov-chain approximations to univariate and vector autoregressions (1986)On Money as a Medium of Exchange (1989)Do Liquidity Constraints and Interest Rates Matter for Consumer Behavior? Evidence from Credit Card Data (2002)A Model of Money and Credit, with Application to the Credit Card Debt Puzzle (2008)Pretending to Be Poor: Borrowing to Escape Forced Solidarity in Cameroon (2011)Restoring Rational Choice: The Challenge of Consumer Financial Regulation (2016)Option Pricing and Replication with Transactions Costs (1985)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Optimal stopping and perpetual options for Lévy processes (2002)Perpetual American Options Under Lévy Processes (2002)PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES (2004)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Theory of Rational Option Pricing (1973)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Estimating quadratic variation using realized variance (2002)Stochastic Integration and Differential Equations (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Behavior of Stock-Market Prices (1965)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Option pricing by transform methods: extensions, unification and error control (2004)A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)Analysis of Fourier Transform Valuation Formulas and Applications (2010)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)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 2002Non-Gaussian Merton-Black-Scholes Theory324 cited
  • 2000OPTION PRICING FOR TRUNCATED LÉVY PROCESSES284 cited
  • 2013Household Need for Liquidity and the Credit Card Debt Puzzle251 cited
  • 2017Mean-VaR portfolio optimization: A nonparametric approach151 cited
  • 2004Measures of risk119 cited
  • 1979A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy111 cited
  • 2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps102 cited
  • 2017Leverage constraints and asset prices: Insights from mutual fund risk taking97 cited
  • 2019

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Portfolio optimization with entropic value-at-risk
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