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Stochastic Optimization Models in Finance
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Stochastic Optimization Models in Finance (1975)Stochastic Optimization Models in FinanceMisallocation costs of digging deeper into the central bank toolkit (2020)Misallocation costs of diggin…Objective comparisons of the optimal portfolios corresponding to different utility functions (2008)Objective comparisons of the …Admissible investment strategies in continuous trading (1988)Admissible investment strateg…Optimum consumption and portfolio rules in a continuous-time model (1971)Martingales and stochastic integrals in the theory of continuous trading (1981)Point Processes and Queues (1981)MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS (2009)The Pricing of Options and Corporate Liabilities (1973)Brownian Motion and Stochastic Calculus (2007)Effectiveness, reliability and subject risk - Shaping drivers for the set of possibilities and utility function when investment decision is made under uncertainty (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Common risk factors in the returns on stocks and bonds (1993)
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  • 2008Objective comparisons of the optimal portfolios corresponding to different utility functions22 cited
  • 1988Admissible investment strategies in continuous trading19 cited
  • 2020Misallocation costs of digging deeper into the central bank toolkit10 cited

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