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Portfolio Turnpikes
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Portfolio Turnpikes (1999)Portfolio TurnpikesOptimization Problems in the Theory of Continuous Trading (1989)Optimization Problems in the …Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions (1983)Portfolio Turnpike Theorems, …Convergence to isoelastic utility and policy in multiperiod portfolio choice (1974)Convergence to isoelastic uti…The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds (1970)The structure of investor pre…Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…Turnpike property and convergence rate for an investment model with general utility functions (2014)Turnpike property and converg…Turnpike Theorems for Markov Games (2012)Turnpike Theorems for Markov …Transaction Costs, Trading Volume, and the Liquidity Premium (2012)Transaction Costs, Trading Vo…Asset Allocation (2010)Asset AllocationPortfolio Performance and Agency (2004)Portfolio Performance and Age…Liquidity Preference as Behavior Towards Risk (1958)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)A characterization of the distributions that imply mean—Variance utility functions (1983)The Rank of Demand Systems: Theory and Nonparametric Estimation (1991)Optimal positioning in derivative securities (2001)Methods of Mathematical Finance (1998)Controlled Markov Processes and Viscosity Solutions (2005)Continuous-time Stochastic Control and Optimization with Financial Applications (2009)Handbook of Mathematical Economics. (1983)Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Mean Field Games for Stochastic Growth with Relative Utility (2016)Essays in the Theory of Risk-Bearing. (1972)Chapter 3 Capital growth theory (1995)Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications (2009)Portfolios and risk premia for the long run (2012)The Utility Analysis of Choices Involving Risk (1948)Stochastic network optimization models for investment planning (1989)Global Asset Liability Management (2003)PORTFOLIO SELECTION* (1952)Optimum consumption and portfolio rules in a continuous-time model (1971)Continuous Martingales and Brownian Motion (1999)On the existence of shadow prices (2012)Portfolio choice with small temporary and transient price impact (2019)Lifetime investment and consumption with recursive preferences and small transaction costs (2020)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A generalized clark representation formula, with application to optimal portfolios (1991)OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS (1995)A two-person dynamic equilibrium under ambiguity (2003)The Economic Theory of Agency: The Principal's Problem. (1973)Moral Hazard and Observability (1979)An Analysis of the Principal-Agent Problem (1983)Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance (2003)Delegated Asset Management, Investment Mandates, and Capital Immobility (2009)Portfolio Selection (1952)An Intertemporal Capital Asset Pricing Model (1973)Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences (2013)What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio (2014)Multiperiod Consumption-Investment Decisions (1975)Universal Portfolios (1991)Aspects of Rational Insurance Purchasing (1992)
this work references cited by second hop

References

  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 1970The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds434 cited
  • 1989Optimization Problems in the Theory of Continuous Trading284 cited
  • 1974Convergence to isoelastic utility and policy in multiperiod portfolio choice102 cited
  • 1983Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions70 cited

Cited by

  • 2012Turnpike Theorems for Markov Games56 cited
  • 2014Turnpike property and convergence rate for an investment model with general utility functions33 cited
  • 2010Asset Allocation33 cited
  • 2012Transaction Costs, Trading Volume, and the Liquidity Premium32 cited
  • 2004Portfolio Performance and Agency31 cited

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