An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

Theory of Rational Option Pricing

1973 • 7,693 citations

Option pricing: A simplified approach

1979 • 6,128 citations

Optimum consumption and portfolio rules in a continuous-time model

1971 • 6,065 citations

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

1969 • 5,148 citations

Entry and Exit Decisions under Uncertainty

1989 • 2,383 citations

Optimal dealer pricing under transactions and return uncertainty

1981 • 1,424 citations

Portfolio Selection with Transaction Costs

1990 • 1,370 citations

Controlled Diffusion Processes

1980 • 1,343 citations

Capital Market Equilibrium with Transaction Costs

1986 • 1,172 citations

Hysteresis, Import Penetration, and Exchange Rate Pass-Through

1989 • 871 citations

Option Pricing and Replication with Transactions Costs

1985 • 805 citations

Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World

1992 • 670 citations

Rational Theory of Warrant Pricing

2015 • 555 citations

Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods

1990 • 505 citations

Appendix : A free boundary problem for the heat equation arising from a problem in mathematical economics

1965 • 489 citations

The implementation shortfall

1988 • 466 citations

Portfolio selection with transactions costs

1976 • 442 citations

Super contact and related optimality conditions

1991 • 387 citations

Liquidity and Asset Prices: Financial Management Implications

1988 • 361 citations

Some solvable stochastic control problemst^†

1980 • 343 citations

Instantaneous Control of Brownian Motion

1983 • 301 citations

Liquidity and execution costs in equity markets

1988 • 227 citations

Options Arbitrage in Imperfect Markets

1989 • 197 citations

A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees

1988 • 192 citations

On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance

1989 • 188 citations

Multiperiod Consumption and Investment Behavior with Convex Transactions Costs

1979 • 181 citations

Transactions costs and portfolio choice in a discrete-continuous-time setting

1990 • 178 citations

Optimal Dynamic Trading with Leverage Constraints

1992 • 156 citations

What Does It Take to Win the Trading Game?

1981 • 58 citations

Optimal Portfolio Revision with a Proportional Transaction Cost

1975 • 43 citations

The Economics of the Dealer Function

1987 • 34 citations

Perishable Investment and Hysteresis in Capital Formation

1989 • 14 citations