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

Brownian Motion and Stochastic Calculus

2007 • 8,413 citations

Optimum consumption and portfolio rules in a continuous-time model

1971 • 6,065 citations

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

1969 • 5,148 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

Martingales and stochastic integrals in the theory of continuous trading

1981 • 2,903 citations

Brownian Motion and Stochastic Calculus

1988 • 1,489 citations

On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures

1960 • 717 citations

A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios

1986 • 572 citations

A stochastic calculus model of continuous trading: Complete markets

1983 • 441 citations

Explicit Solution of a General Consumption/Investment Problem

1986 • 383 citations

On the theory of option pricing

1984 • 298 citations

Lectures from Markov Processes to Brownian Motion

1982 • 261 citations

Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy

1983 • 63 citations