Optimum consumption and portfolio rules in a continuous-time model

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

1969 • 5,148 citations

The Theory of Stochastic Processes

1966 • 3,500 citations

LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING

1975 • 1,863 citations

Lifetime Portfolio Selection By Dynamic Stochastic Programming

1969 • 1,665 citations

Stochastic Stability and Control

1967 • 1,516 citations

Diffusion Processes and their Sample Paths.

1968 • 1,163 citations

On stochastic differential equations

1951 • 784 citations

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

1970 • 735 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

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

Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions

1970 • 346 citations

Dynamic programming and the calculus of variations

1960 • 294 citations

4 Dynamic Programming and the Calculus of Variations

1964 • 261 citations

Conditional Markov processes and their application to the theory of optimal control

1968 • 254 citations

The Theory of Stochastic Processes.

1967 • 221 citations

Conditional Markov Processes and their application to the Theory of Optimal Control

1969 • 187 citations

Stochastic Differential Equations

2011 • 56 citations

DYNAMIC PORTFOLIO THEORY*

1969 • 32 citations

Essays on assets and contingent commodities.

1969 • 4 citations