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

Optimum consumption and portfolio rules in a continuous-time model

1971 • 6,065 citations

Deterministic and Stochastic Optimal Control.

1976 • 2,757 citations

Capital Market Equilibrium with Transaction Costs

1986 • 1,172 citations

Option Pricing and Replication with Transactions Costs

1985 • 805 citations

Introduction to Stochastic Integration

1983 • 483 citations

Portfolio selection with transactions costs

1976 • 442 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