Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

Brownian Motion and Stochastic Calculus

2007 • 8,413 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Stochastic Integration and Differential Equations

2005 • 4,762 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

Statistics of Random Processes

2021 • 2,216 citations

Optimal consumption and portfolio policies when asset prices follow a diffusion process

1989 • 1,697 citations

Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations

1978 • 1,583 citations

Brownian Motion and Stochastic Calculus

1988 • 1,489 citations

Stochastic Integration and Differential Equations

1990 • 1,167 citations

Implications of Security Market Data for Models of Dynamic Economies

1991 • 1,158 citations

Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

1987 • 1,141 citations

Statistics of Random Processes I

1977 • 1,012 citations

Convex Duality in Constrained Portfolio Optimization

1992 • 667 citations

Rational Asset Pricing Bubbles

1997 • 583 citations

Financial Innovation: The Last Twenty Years and the Next

1986 • 520 citations

Explaining the Variance of Price–Dividend Ratios

1992 • 519 citations

Martingales and Arbitrage in Securities Markets with Transaction Costs

1995 • 458 citations

Finite Bubbles with Short Sale Constraints and Asymmetric Information

1993 • 446 citations

Intertemporal Asset Pricing with Heterogeneous Beliefs

1994 • 399 citations

An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies

1988 • 336 citations

Asymmetric Information and Options

1993 • 331 citations

Asset Pricing in Economies with Frictions

1996 • 323 citations

Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices

1980 • 317 citations

Optimal Security Design

1988 • 310 citations

Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income

1997 • 301 citations

Borrowing Constraints and Aggregate Economic Activity

1986 • 290 citations

A variational problem arising in financial economics

1991 • 247 citations

Market Frictions and Consumption-Based Asset Pricing

1995 • 246 citations

THE CAPITAL ASSET PRICING MODEL (CAPM), SHORT‐SALE RESTRICTIONS AND RELATED ISSUES

1977 • 209 citations

ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS

1995 • 170 citations

Labor income, borrowing constraints, and equilibrium asset prices

1993 • 158 citations

Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis

1986 • 135 citations

Tax Clienteles and Asset Pricing

1986 • 109 citations

Valuation of Risky Assets in Arbitrage Free Economies with Frictions

1986 • 72 citations

Financial Innovation and Arbitrage Pricing in Frictional Economies

1995 • 65 citations

The Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues

1977 • 63 citations

Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices

1980 • 58 citations

Viable prices in financial markets with solvency constraints

1995 • 56 citations

Arbitrage, Continuous Trading, and Margin Requirements

1987 • 54 citations

Information and securities: A note on pareto dominance and the second best

1987 • 21 citations