Optimal Dynamic Trading with Leverage Constraints

Optimum consumption and portfolio rules in a continuous-time model

1971 • 6,065 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

Theory of constant proportion portfolio insurance

1992 • 412 citations

Explicit Solution of a General Consumption/Investment Problem

1986 • 383 citations

Simplifying portfolio insurance

1987 • 359 citations

Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market

1988 • 258 citations

Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans

1988 • 208 citations

Optimal Portfolio Insurance

1981 • 189 citations

Portfolio Insurance in Complete Markets: A Note

1989 • 91 citations