Arbitrage With Holding Costs: A Utility‐Based Approach

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Noise Trader Risk in Financial Markets

1990 • 6,029 citations

Investor Sentiment and the Closed-End Fund Puzzle

1991 • 1,422 citations

Investor Sentiment and the Closed‐End Fund Puzzle

1991 • 1,291 citations

Optimal replication of contingent claims under transaction costs

1989 • 654 citations

Equilibrium Short Horizons of Investors and Firms

1990 • 554 citations

Liquidity, Maturity, and the Yields on U.S. Treasury Securities

1991 • 520 citations

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

1991 • 421 citations

Optimal bond trading with personal taxes

1984 • 284 citations

Arbitrage in Stock Index Futures

1990 • 240 citations

Optimal Dynamic Trading with Leverage Constraints

1992 • 156 citations

The Mispricing of U.S. Treasury Bonds: A Case Study

1989 • 95 citations

Korth cm. International business : environment and management. Prentice hall, inc, englewood cliffs, 1985, 2a ed

1985 • 89 citations

Arbitrage pricing, transaction costs and taxation of capital gains

1984 • 63 citations

Currency and interest rate hedging : a user's guide to options, futures, swaps, and forward contracts

1987 • 8 citations

An exact solution to the portfolio choice problem under transactions costs

1990 • 7 citations

Optimal Dynamic Trading with Leverage

1992 • 2 citations