Research graph
References from On optimal portfolio choice under stochastic interest rates. Local targets link to admitted publications; unresolved targets remain external evidence.
On the optimal hedge of a non-traded cash position
10.2307/2328328 · 1988 · External reference
Implied volatility functions in arbitrage-free term structure models
10.1016/0304-405x(94)90002-7 · 1994 · External reference
The numéraire portfolio
10.1080/135184797337381 · 1997 · External reference
An intertemporal asset pricing model with stochastic consumption and investment opportunities
10.1016/0304-405x(79)90016-3 · 1979 · External reference
Futures markets and commodity options hedging and optimality in incomplete markets
10.1016/0022-0531(84)90055-3 · 1984 · External reference
Optimal consumption and portfolio policies when asset prices follow a diffusion process
10.1016/0022-0531(89)90067-7 · 1989 · External reference
A variational problem arising in financial economics
10.1016/0304-4068(91)90004-d · 1991 · External reference
An intertemporal general equilibrium model of asset prices
10.2307/1911241 · 1985 · External reference
A theory of the term structure of interest rates
10.2307/1911242 · 1985 · External reference
10.2139/ssrn.139422
10.2139/ssrn.139422 · External reference
Unresolved reference
1996 · External reference
Optimal hedging and equilibrium in a dynamic futures market
10.1016/0165-1889(90)90003-y · 1990 · External reference
Mean variance hedging in continuous time
10.1214/aoap/1177005978 · 1991 · External reference
Pricing continuously resettled contingent claim
10.1016/0165-1889(92)90049-k · 1992 · External reference
10.1002/fut.3990110207
10.1002/fut.3990110207 · External reference
Arbitrage free pricing of interest rate futures and forward contracts
10.1002/fut.3990130108 · 1993 · External reference
On Optimal myopic portfolio policies with and without serial correlation of yields
10.1086/295383 · 1971 · External reference
Martingales and arbitrage in multi-period securities markets
10.1016/0022-0531(79)90043-7 · 1979 · External reference
Martingales and stochastic integrals in the theory of continuous trading
10.1016/0304-4149(81)90026-0 · 1981 · External reference
Consumption and portfolio policies with incomplete markets and short sales constraints
10.1016/0022-0531(91)90123-l · 1991 · External reference
Bond pricing and the term structure of interest rates
10.2307/2951677 · 1992 · External reference
Optimal portfolio and consumption decisions for a small investor on a finite horizon
10.1137/0325086 · 1987 · External reference
Martingale and duality methods for utility maximization in an incomplete market
10.1137/0329039 · 1991 · External reference
Unresolved reference
1991 · External reference
Dynamic non-myopic portfolio behavior
10.1093/rfs/9.1.141 · 1996 · External reference
Market equilibrium in a multi-period state preference model with logarithmic utility
10.2307/2326649 · 1975 · External reference
Optimal hedging in a dynamic futures market with a non-negative constraint on wealth
10.1016/0165-1889(95)00891-8 · 1996 · External reference
10.1016/0304-405x(90)90012-o
10.1016/0304-405x(90)90012-o · 1990 · External reference
Optimum consumption and portfolio rules in a continuous time model
10.1016/0022-0531(71)90038-x · 1971 · External reference
An intertemporal capital asset pricing model
10.2307/1913811 · 1973 · External reference
Investment and hedging under a stochastic yield curve
10.1016/0014-2921(93)90112-n · 1993 · External reference
The strong case for the generalized logarithmic utility model as the premier model of financial markets
10.2307/2326626 · 1976 · External reference
The term structure of interest rates
10.1007/bf00949048 · 1996 · External reference
