Dynamic asset allocation with mean variance preferences and a solvency constraint (Q5958786): Difference between revisions

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+Dynamic Asset Allocation in a Mean-Variance Framework
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+The Pricing of Options and Corporate Liabilities
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+Strategic asset allocation
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+Optimal consumption and portfolio policies when asset prices follow a diffusion process
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+Mean-variance hedging in continuous time
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+Changes of numéraire, changes of probability measure and option pricing
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+The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
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+Martingales and arbitrage in multiperiod securities markets
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+Martingales and stochastic integrals in the theory of continuous trading
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+Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth
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+Optimum consumption and portfolio rules in a continuous-time model
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+An Intertemporal Capital Asset Pricing Model
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+A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
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+A Minimum Variance Result in Continuous Trading Portfolio Optimization
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