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Growth versus security tradeoffs indynamic investment analysis
16 references·3 citing·32 second hop
Growth versus security tradeoffs indynamic investment analysis (1999)Growth versus security tradeoffs indynami…Worldwide asset and liability modeling (1998)Worldwide asset and liability…The Asymptotic Distribution of Extreme Stock Market Returns (1996)The Asymptotic Distribution o…Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…Growth Versus Security in Dynamic Investment Analysis (1992)Growth Versus Security in Dyn…Continuous-Time Finance. (1991)Continuous-Time Finance.Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Variance Analysis in Por…Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment (1988)Asymptotic Optimality and Asy…Comparison of Alternative Utility Functions in Portfolio Selection Problems (1983)Comparison of Alternative Uti…Efficiency of the Market for Racetrack Betting (1981)Efficiency of the Market for …INVESTMENT FOR THE LONG RUN: NEW EVIDENCE FOR AN OLD RULE (1976)INVESTMENT FOR THE LONG RUN: …OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966. (1975)OPTIMAL INVESTMENT AND CONSUM…The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling (1971)The “Fallacy” of Maximizing t…On Optimal Myopic Portfolio Policies, with and Without Serial Correlation of Yields (1971)On Optimal Myopic Portfolio P…Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions (1970)Optimal Investment and Consum…Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…Criteria for Choice Among Risky Ventures (1959)Criteria for Choice Among Ris…Capital growth: Theory and practice (2008)Capital growth: Theory and pr…The Parimutuel Kelly Probability Scoring Rule (2007)The Parimutuel Kelly Probabil…Multistage Stochastic Mean-Variance Portfolio Analysis with Transaction Costs (2003)Multistage Stochastic Mean-Va…Prices of State-Contingent Claims Implicit in Option Prices (1978)Implied Binomial Trees (1994)Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Theory of Games and Economic Behavior (1946)Risk Aversion in the Small and in the Large (1964)ON THE THEORY OF FINANCIAL INTERMEDIATION (1971)An Asymptotic Theory of Growth Under Uncertainty (1975)Risk Aversion in the Small and in the Large (1976)Modern portfolio theory, 1950 to date (2011)Credit risk optimization with Conditional Value-at-Risk criterion (2001)DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)Multi-objective stochastic programming for portfolio selection (2005)Measuring Market Risk (2005)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Social physics (2022)Foundations of Portfolio Theory (1991)Asset pricing with liquidity risk (2005)An Engine, Not a Camera (2006)Universal portfolios with side information (1996)Do Markets Favor Agents able to Make Accurate Predictions? (2000)The numéraire portfolio in semimartingale financial models (2007)Multiperiod Consumption-Investment Decisions (1975)Universal Portfolios (1991)Aspects of Rational Insurance Purchasing (1992)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)THE DEMAND FOR RISKY ASSETS (1977)A Benchmark Approach to Quantitative Finance (2006)Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods (1974)
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References

  • 1991Continuous-Time Finance.1,788 cited
  • 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1,160 cited
  • 1996Recovering Probability Distributions from Option Prices1,086 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 1996The Asymptotic Distribution of Extreme Stock Market Returns510 cited
  • 1959Criteria for Choice Among Risky Ventures401 cited
  • 1998Worldwide asset and liability modeling370 cited
  • 1970Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions347 cited
  • 1975OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966.347 cited
  • 1988Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment343 cited
  • 1981Efficiency of the Market for Racetrack Betting249 cited
  • 1971The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling224 cited
  • 1976INVESTMENT FOR THE LONG RUN: NEW EVIDENCE FOR AN OLD RULE212 cited
  • 1983Comparison of Alternative Utility Functions in Portfolio Selection Problems202 cited
  • 1971

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On Optimal Myopic Portfolio Policies, with and Without Serial Correlation of Yields
177 cited
  • 1992Growth Versus Security in Dynamic Investment Analysis175 cited
  • Cited by

    • 2003Multistage Stochastic Mean-Variance Portfolio Analysis with Transaction Costs40 cited
    • 2007The Parimutuel Kelly Probability Scoring Rule39 cited
    • 2008Capital growth: Theory and practice27 cited