Portfolio Selection in Stochastic Environments
Data up to Jan 2025
Total Citations Per Year
Abstract
References (37)
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
1993 • 8,830 citations
A Theory of the Term Structure of Interest Rates
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
1993 • 2,215 citations
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Post-'87 crash fears in the S&P 500 futures option market
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1990 • 1,337 citations
The Risk and Predictability of International Equity Returns
1993 • 940 citations
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1989 • 852 citations
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1997 • 784 citations
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2001 • 651 citations
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1996 • 496 citations
Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two‐Factor Approach
1998 • 459 citations
Dynamic Asset Allocation under Inflation
2002 • 435 citations
The Role of Learning in Dynamic Portfolio Decisions *
1998 • 433 citations
A Theory of the Nominal Term Structure of Interest Rates
1992 • 423 citations
Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
2005 • 414 citations
Optimal Consumption and Portfolio Selection with Stochastic Differential Utility
1999 • 296 citations
Does the Failure of the Expectations Hypothesis Matter for Long‐Term Investors?
2005 • 216 citations
Stochastic Interest Rates and the Bond-Stock Mix
2000 • 170 citations
Risk aversion and allocation to long-term bonds
2003 • 143 citations
Assessing Asset Pricing Anomalies
2001 • 139 citations
Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences
2003 • 110 citations
Optimal portfolio choice in the bond market
2006 • 53 citations
Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
2004 • 46 citations
Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies
2002 • 41 citations
Generalizing the Affine Framework to HJM and Random Field Models
2003 • 37 citations
Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies
2000 • 22 citations
Market Prices of Risk and Return Predictability in a Joint Stock-Bond Pricing Model
2002 • 21 citations
Portfolio Management for a Random Field of Bond Returns
2002 • 1 citations
Market Prices of Risk and Return Predictability in a Joint Stock-Bond Pricing Model
2002 • 1 citations