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Optimum consumption and portfolio rules in a continuous-time model

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Business conditions and expected returns on stocks and bonds

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Martingales and arbitrage in multiperiod securities markets

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Dynamic Asset Pricing Theory.

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A YIELD‐FACTOR MODEL OF INTEREST RATES

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Methods of Mathematical Finance

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

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Investing for the Long Run when Returns Are Predictable

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

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Mean Reversion in Stock Prices

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Consumption and Portfolio Decisions when Expected Returns are Time Varying

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Methods of Mathematical Finance

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Strategic asset allocation

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Portfolio Selection in Stochastic Environments

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A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios

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Dynamic Nonmyopic Portfolio Behavior

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

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Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach

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Dynamic Asset Allocation under Inflation

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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

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Optimal Consumption and Portfolio Selection with Stochastic Differential Utility

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A variational problem arising in financial economics

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Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor

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Optimal Consumption and Portfolio Selection with Stochastic Differential Utility

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Deleted Work

1955 • 0 citations