Theory of Financial Decision Making.

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

Theory of games and economic behavior

2019 • 17,685 citations

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

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…

1975 • 7,346 citations

An equilibrium characterization of the term structure

1977 • 6,242 citations

Option pricing: A simplified approach

1979 • 6,128 citations

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

1969 • 5,148 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Risk Aversion in the Small and in the Large

1976 • 4,953 citations

Equilibrium in a Capital Asset Market

1966 • 4,832 citations

Essays in the Theory of Risk-Bearing.

1972 • 4,221 citations

A First Course in Stochastic Processes

1975 • 4,107 citations

Increasing risk: I. A definition

1970 • 3,861 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

1977 • 3,099 citations

DEBT AND TAXES*

1977 • 3,086 citations

On financial contracting

1979 • 3,013 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

Theory of Value

1959 • 2,689 citations

A Simplified Model for Portfolio Analysis

1963 • 2,673 citations

VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS

1976 • 2,451 citations

An Intertemporal General Equilibrium Model of Asset Prices

1985 • 2,096 citations

LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING

1975 • 1,863 citations

The Extreme Value Method for Estimating the Variance of the Rate of Return

1980 • 1,853 citations

Rules for Ordering Uncertain Prospects

1969 • 1,748 citations

Information, trade and common knowledge

1982 • 1,739 citations

The Valuation of Uncertain Income Streams and the Pricing of Options

1976 • 1,727 citations

Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

1983 • 1,611 citations

SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*

1976 • 1,562 citations

THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER

1978 • 1,524 citations

On the Estimation of Security Price Volatilities from Historical Data

1980 • 1,466 citations

"Expected Utility" Analysis without the Independence Axiom

1982 • 1,397 citations

ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION

1976 • 1,388 citations

Options: A Monte Carlo approach

1977 • 1,315 citations

The option pricing model and the risk factor of stock

1976 • 1,293 citations

The Role of Securities in the Optimal Allocation of Risk-bearing

1973 • 1,203 citations

Fact and Fantasy in the Use of Options

1975 • 1,046 citations

An Analytic Derivation of the Efficient Portfolio Frontier

1972 • 1,039 citations

On the Possibility of Speculation under Rational Expectations

1982 • 971 citations

The Valuation of Corporate Liabilities as Compound Options

1977 • 884 citations

Options and Efficiency

1976 • 851 citations

The relation between forward prices and futures prices

1981 • 770 citations

The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

1970 • 735 citations

On The Direction of Preference for Moments of Higher Order Than The Variance

1980 • 724 citations

An Axiomatic Approach to Measurable Utility

1953 • 708 citations

Portfolio Selection: Efficient Diversification of Investments.

1960 • 690 citations

The American Put Option Valued Analytically

1984 • 666 citations

Approximate option valuation for arbitrary stochastic processes

1982 • 636 citations

On the term structure of interest rates

1978 • 636 citations

A Simple Approach to the Valuation of Risky Streams

1978 • 602 citations

Alternative methods for raising capital

1977 • 586 citations

The Pricing of Contingent Claims in Discrete Time Models

1979 • 571 citations

Options on the minimum or the maximum of two risky assets

1982 • 564 citations

THE VALUATION OF AMERICAN PUT OPTIONS

1977 • 539 citations

Increases in risk and in risk aversion

1974 • 534 citations

The Aggregation of Investor's Diverse Judgments and Preferences in Purely Competitive Security Markets

1969 • 524 citations

Third-Degree Stochastic Dominance

2016 • 523 citations

Funds, Factors, and Diversification in Arbitrage Pricing Models

1983 • 499 citations

Option pricing

1976 • 486 citations

The Fundamental Theorem of Parameter-Preference Security Valuation

1973 • 472 citations

CONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSION

1977 • 470 citations

Some Stronger Measures of Risk Aversion in the Small and the Large with Applications

1981 • 465 citations

A characterization of the distributions that imply mean—Variance utility functions

1983 • 452 citations

The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds

1970 • 451 citations

Multiperiod Consumption-Investment Decisions

1970 • 449 citations

Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model

1975 • 438 citations

Two‐State Option Pricing

1979 • 402 citations

Investment, Interest and Capital.

1971 • 395 citations

An analytic valuation formula for unprotected American call options on stocks with known dividends

1977 • 385 citations

General Proof that Diversification Pays

1967 • 385 citations

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 • 383 citations

RISK, RETURN AND EQUILIBRIUM: SOME CLARIFYING COMMENTS

1968 • 373 citations

IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES

2005 • 370 citations

Risk Aversion and the Martingale Property of Stock Prices

1973 • 360 citations

Probability, Utility, and the Independence Axiom

1952 • 355 citations

On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice

1983 • 355 citations

Divergence of Opinion in Complete Markets: A Note

1985 • 341 citations

THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES

1969 • 340 citations

Stochastic Methods in Economics and Finance.

1984 • 333 citations

An Asymptotic Theory of Growth Under Uncertainty

1975 • 329 citations

Capital asset prices with heterogeneous beliefs

1977 • 314 citations

Capital Markets: Theory and Evidence

2003 • 292 citations

Multivariate Risk Aversion, Utility Independence and Separable Utility Functions

1975 • 287 citations

Risk Reduction and Portfolio Size: An Analytical Solution

1977 • 286 citations

Optimal bond trading with personal taxes

1984 • 284 citations

A simple approach to arbitrage pricing theory

1982 • 281 citations

Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods

1974 • 277 citations

On the valuation of American call options on stocks with known dividends

1981 • 277 citations

Mean-Variance Theory in Complete Markets

1982 • 276 citations

An Analysis of Variable Rate Loan Contracts

1980 • 276 citations

Path Dependent Options: “Buy at the Low, Sell at the High”

1979 • 270 citations

The valuation of warrants: Implementing a new approach

1977 • 257 citations

The Arbitrage Pricing Theory: Is it Testable?

1982 • 256 citations

Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information

1982 • 253 citations

Prices for State-Contingent Claims: Some Estimates and Applications

1978 • 253 citations

Savings bonds, retractable bonds and callable bonds

1977 • 240 citations

Bankruptcy, absolute priority, and the pricing of risky debt claims

1977 • 237 citations

Duration and the Measurement of Basis Risk

1979 • 236 citations

THE STRONG CASE FOR THE GENERALIZED LOGARITHMIC UTILITY MODEL AS THE PREMIER MODEL OF FINANCIAL MARKETS

1976 • 235 citations

Stock prices, inflation, and the term structure of interest rates

1974 • 234 citations

A Multivariate Model of the Term Structure*

1980 • 220 citations

CALL OPTION PRICING WHEN THE EXERCISE PRICE IS UNCERTAIN, AND THE VALUATION OF INDEX BONDS

1978 • 217 citations

Option Pricing: The American Put

1977 • 217 citations

INVESTMENT FOR THE LONG RUN: NEW EVIDENCE FOR AN OLD RULE

1976 • 206 citations

Variances of Security Price Returns Based on High, Low, and Closing Prices

1983 • 205 citations

PRICING OF WARRANTS AND THE VALUE OF THE FIRM

1978 • 188 citations

Factor pricing in a finite economy

1983 • 187 citations

An arbitrage model of the term structure of interest rates

1978 • 186 citations

Duration Forty Years Later

1978 • 184 citations

Some Results in the Theory of Arbitrage Pricing

1984 • 184 citations

Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk

1976 • 165 citations

A SURVEY OF SOME NEW RESULTS IN FINANCIAL OPTION PRICING THEORY

1976 • 165 citations

Capital Market Equilibrium with Divergent Borrowing and Lending Rates

1971 • 159 citations

An explicit bound on individual assets' deviations from APT pricing in a finite economy

1983 • 158 citations

THE IMPACT ON OPTION PRICING OF SPECIFICATION ERROR IN THE UNDERLYING STOCK PRICE RETURNS

1976 • 156 citations

THE CURRENT STATUS OF THE CAPITAL ASSET PRICING MODEL (CAPM)

1978 • 153 citations

Option Pricing Bounds in Discrete Time

1984 • 153 citations

A Two-Factor Model of the Term Structure: An Approximate Analytical Solution

1984 • 146 citations

Measuring portfolio performance and the empirical content of asset pricing models

1979 • 125 citations

ORDERING UNCERTAIN OPTIONS WITH BORROWING AND LENDING

1978 • 119 citations

A Theoretical and Empirical Investigation of the Dual Purpose Funds: An Application of Contingent-Claims Analysis

2011 • 111 citations

On Valuing American Call Options with the Black‐Scholes European Formula

1984 • 110 citations

The Valuation of Multivariate Contingent Claims in Discrete Time Models

1984 • 109 citations

ON THE UTILITY THEORETIC FOUNDATIONS OF MEAN‐VARIANCE ANALYSIS

1977 • 104 citations

Multidimensional Security Pricing

1975 • 101 citations

Expectations, Bond Prices, and the Term Structure of Interest Rates

1962 • 100 citations

THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES: COMMENT

1973 • 100 citations

On dynamic investment strategies

2000 • 92 citations

Call options and the risk of underlying securities

1984 • 90 citations

Warrant exercise and bond conversion in competitive markets

1984 • 89 citations

Exact Pricing in Linear Factor Models with Finitely Many Assets: A Note

1983 • 89 citations

Admissible uncertainty in the intertemporal asset pricing model

1980 • 89 citations

Theories of Corporate Debt Policy: A Synthesis

1979 • 88 citations

Spot and Futures Prices and the Law of One Price

1983 • 87 citations

Bond indenture provisions and the risk of corporate debt

1982 • 87 citations

Spanning the State Space with Options

1980 • 87 citations

Portfolio Efficient Sets

1982 • 82 citations

EFFICIENT CAPITAL MARKETS: COMMENT

1976 • 82 citations

The Valuation of Corporate Liabilities as Compound Options: A Correction

1984 • 80 citations

On the microeconomic theory of investment under uncertainty

1977 • 79 citations

WELFARE ASPECTS OF OPTIONS AND SUPERSHARES

1978 • 77 citations

On the Efficient Markets Hypothesis

1983 • 76 citations

An algebra for evaluating hedge portfolios

1976 • 74 citations

THE PRICING OF OPTIONS WITH STOCHASTIC DIVIDEND YIELD

1978 • 74 citations

Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions

1983 • 73 citations

Arbitrage pricing with information

1983 • 73 citations

CAPITAL STRUCTURE REARRANGEMENTS AND ME‐FIRST RULES IN AN EFFICIENT CAPITAL MARKET

1977 • 70 citations

Time preference and capital asset pricing models

1985 • 64 citations

The Stationary Distribution of Returns and Portfolio Separation in Capital Markets: A Fundamental Contradiction

1976 • 63 citations

A Time-State-Preference Model of Security Valuation

1968 • 62 citations

The consumption based asset pricing model

1981 • 62 citations

Interest-Rate Risk and the Term Structure of Interest Rates

1965 • 60 citations

A strategic analysis of sinking fund bonds

1984 • 59 citations

Risky debt, jump processes, and safety covenants

1981 • 54 citations

Risk Disposition and the Separation Property in Portfolio Selection

1969 • 54 citations

Consumption and Equilibrium Interest Rates in Stochastic Production Economies

1984 • 51 citations

On Contingent Claims that Insure Ex‐post Optimal Stock Market Timing

1979 • 49 citations

Infinite Horizon Programs

1981 • 48 citations

A Theoretical Model for Valuing Preferred Stock

1983 • 40 citations

Notes on Multiperiod Valuation and the Pricing of Options

1981 • 39 citations

Short Sales Restrictions and Kinks on the Mean Variance Frontier

1984 • 39 citations

Strategic analysis of the competitive exercise of certain financial options

1984 • 39 citations

Stochastic dominance and portfolio analysis

1975 • 39 citations

The Geometry of Separation and Myopia

1976 • 33 citations

A negative report on the ‘near optimality’ of the max-expected-log policy as applied to bounded utilities for long lived programs

1974 • 33 citations

Bond Systematic Risk and the Option Pricing Model

1983 • 32 citations

Market Resolution and Valuation in Incomplete Markets

1984 • 31 citations

Sinking Funds and the Cost of Corporate Debt

1979 • 30 citations

An Alternative Characterization of Decreasing Absolute Risk Aversion

1983 • 25 citations

The Arrow-Debreu Model Extended to Financial Markets

1979 • 24 citations

Comments on the valuation of derivative assets

1982 • 24 citations

Interpreting the factor risk premia in the arbitrage pricing theory

1985 • 24 citations

A General Theory of Subjective Probabilities and Expected Utilities

1969 • 24 citations

Comments on qualitative results for investment proportions

1977 • 22 citations

The definition of risk: An extension

1977 • 20 citations

The Mayers-Rice conjecture

1980 • 18 citations

The Asymptotic Validity of Quadratic Utility as the Trading Interval Approaches Zero

1975 • 16 citations

Valuation of general contingent claims

1978 • 16 citations

Term-Risk Structures and the Valuation of Projects

1980 • 13 citations

On the Boness and Black-Scholes Models for Valuation of Call Options

1978 • 13 citations

Stochastic Dominance with a Riskless Asset: An Imperfect Market

1979 • 12 citations

A Proof of the Existence of “Consensus Beliefs”

1979 • 10 citations

The effect of temporal risk aversion on liquidity preference

1982 • 10 citations

On the Dividend Capitalization Model Under Uncertainty

1969 • 9 citations

A Note on Indifference Curves in the Mean-Variance Model

1977 • 5 citations

The Theorems of Modern Finance in a General Equilibrium Setting: Paradoxes Resolved

1977 • 4 citations

The Conformity of Stock Values Based on Discounted Dividends to a Fair- Return Process

1975 • 4 citations

Separation in Portfolio Analysis

1975 • 3 citations

Deleted Work

1955 • 0 citations