Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets

Brownian Motion and Stochastic Calculus

2007 • 8,413 citations

Optimum consumption and portfolio rules in a continuous-time model

1971 • 6,065 citations

Ordinary Differential Equations

2002 • 3,451 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

A second course in stochastic processes

1981 • 2,967 citations

Numerical methods in economics

1998 • 2,933 citations

Controlled Markov processes and viscosity solutions

1992 • 2,916 citations

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

1989 • 1,697 citations

Probability with martingales

1992 • 1,628 citations

Probability with Martingales

1991 • 1,543 citations

Brownian Motion and Stochastic Calculus

1988 • 1,489 citations

Investing for the Long Run when Returns Are Predictable

2000 • 1,395 citations

Portfolio Selection with Transaction Costs

1990 • 1,370 citations

Capital Market Equilibrium with Transaction Costs

1986 • 1,172 citations

Controlled markov processes and viscosity solutions

1994 • 978 citations

A Model of Competitive Stock Trading Volume

1994 • 969 citations

On the Predictability of Stock Returns: An Asset‐Allocation Perspective

1996 • 750 citations

Optimal Investment and Consumption with Transaction Costs

1994 • 664 citations

Ordinary Differential Equations

1965 • 596 citations

Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods

1990 • 505 citations

Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation

2001 • 475 citations

Transaction Costs and Asset Prices: A Dynamic Equilibrium model

1998 • 472 citations

An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs

1991 • 421 citations

Super contact and related optimality conditions

1991 • 387 citations

Asset Prices and Trading Volume under Fixed Transactions Costs

2004 • 359 citations

Optimal Portfolio Selection with Transaction Costs and Finite Horizons

2002 • 278 citations

OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS

1995 • 227 citations

Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time

1978 • 198 citations

On an Investment-Consumption Model with Transaction Costs

1996 • 187 citations

DIFFUSIONS, MARKOV PROCESSES AND MARTINGALES: Volume 2: Itô Calculus

1989 • 187 citations

Optimal Central Bank Intervention in the Foreign Exchange Market

1999 • 185 citations

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

1990 • 178 citations

Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs

2002 • 178 citations

Portfolio optimisation with strictly positive transaction costs and impulse control

1998 • 173 citations

Optimal Impulse Control of Portfolios

1988 • 143 citations

Risk sensitive asset management with transaction costs

2000 • 103 citations

Stochastic Cash Management with Fixed and Proportional Transaction Costs

1976 • 99 citations

Dual Formulation of the Utility Maximization Problem Under Transaction Costs

2001 • 94 citations

Optimal Portfolio Management with Transactions Costs and Capital Gains Taxes

2000 • 84 citations

Optimal Impulse Control When Control Actions Have Random Consequences

1997 • 61 citations

Optimal consumption of a divisible durable good

2000 • 45 citations

A Verificiation Theorem for Combined Stochastic Control and Impulse Control

1998 • 28 citations

Asset Prices and Trading Volume Under Fixed Transactions Costs

2001 • 27 citations

Stochastic Analysis and Related Topics

2012 • 18 citations

Multiple Risky Assets, Transaction Costs and Return Predictability: Implications for Portfolio Choice

2002 • 16 citations

An Abel ODE class generalizing known integrable classes

2000 • 14 citations

Research Program in Finance Working Paper RPF-290 Optimal Portfolio Management with Transactions Costs and Capital Gains Taxes

1999 • 10 citations

The search for and classification of integrable Abel ODE classes

1999 • 1 citations