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Capital growth: Theory and practice
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Capital growth: Theory and practice (2008)Capital growth: Theory and practiceThe Econometrics of Financial Markets (2012)The Econometrics of Financial…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Alternative models for stock price dynamics (2003)Alternative models for stock …Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskValue at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…Continuous-Time Finance. (1991)Continuous-Time Finance.Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Variance Analysis in Por…Bayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Factor Analysis as a Statistical Method. (1972)Factor Analysis as a Statisti…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…Methods of Measuring the Concentration of Wealth (1905)Methods of Measuring the Conc…Analysis of the rebalancing frequency in log-optimal portfolio selection (2009)Analysis of the rebalancing f…The Utility Analysis of Choices Involving Risk (1948)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Rules for Ordering Uncertain Prospects (1969)On the measurement of inequality (1970)Optimal rules for ordering uncertain prospects (1975)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Chapter 2 Measurement of inequality (2000)Using Lorenz curves to assess public transport equity (2011)THE LAW OF CRIME CONCENTRATION AND THE CRIMINOLOGY OF PLACE* (2015)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Foundations of Portfolio Theory (1991)Asset pricing with liquidity risk (2005)An Engine, Not a Camera (2006)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Theory and Applications of Robust Optimization (2010)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)Inferential Theory for Factor Models of Large Dimensions (2003)Handbook on Constructing Composite Indicators (2005)Panel Data Models With Interactive Fixed Effects (2009)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1905Methods of Measuring the Concentration of Wealth2,281 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1972Factor Analysis as a Statistical Method.1,471 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1,160 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 2003Alternative models for stock price dynamics893 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited

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Cited by

  • 2009Analysis of the rebalancing frequency in log-optimal portfolio selection38 cited