| Publication | Date of Publication | Type |
|---|
| Reference dependence and endogenous anchors | 2024-11-20 | Paper |
| Dynamic trading volume | 2024-05-06 | Paper |
| Young, timid, and risk takers | 2023-09-28 | Paper |
| Leveraged funds: robust replication and performance evaluation | 2023-09-25 | Paper |
| Rogue traders | 2023-07-06 | Paper |
| Portfolio Theory and Arbitrage: A Course in Mathematical Finance | 2022-10-14 | Paper |
| Informational efficiency and welfare | 2022-09-23 | Paper |
| Minimizing the Repayment Cost of Federal Student Loans | 2022-08-05 | Paper |
| Short Communication: American Student Loans: Repayment and Valuation | 2021-05-17 | Paper |
| High-frequency trading with fractional Brownian motion | 2021-04-29 | Paper |
| Shortfall aversion | 2021-03-23 | Paper |
| Sharing Profits in the Sharing Economy | 2020-12-10 | Paper |
| Minimal \(\mathcal{L}^p \)-densities with prescribed marginals | 2020-12-07 | Paper |
| Asset prices in segmented and integrated markets | 2020-11-11 | Paper |
| Technical Note—Options Portfolio Selection | 2020-11-04 | Paper |
| Nonlinear price impact and portfolio choice | 2020-05-14 | Paper |
| Reference Dependence and Market Participation | 2020-04-30 | Paper |
| Consumption in incomplete markets | 2020-03-25 | Paper |
| The learning premium | 2020-02-21 | Paper |
| Trading Fractional Brownian Motion | 2019-11-22 | Paper |
| Should Commodity Investors Follow Commodities' Prices? | 2019-07-10 | Paper |
| Who should sell stocks? | 2019-05-23 | Paper |
| Consumption and investment with interest rate risk | 2019-05-10 | Paper |
| The limits of leverage | 2019-05-08 | Paper |
| Consumption, investment and healthcare with aging | 2019-04-24 | Paper |
| Rebalancing multiple assets with mutual price impact | 2018-11-27 | Paper |
| INVESTING WITH LIQUID AND ILLIQUID ASSETS | 2018-04-13 | Paper |
| ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTS | 2017-03-13 | Paper |
| The incentives of hedge fund fees and high-water marks | 2016-04-14 | Paper |
| LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS | 2015-10-20 | Paper |
| STATIC FUND SEPARATION OF LONG-TERM INVESTMENTS | 2015-10-20 | Paper |
| Hedge and mutual funds' fees and the separation of private investments | 2015-08-04 | Paper |
| Hedging, arbitrage and optimality with superlinear frictions | 2015-07-27 | Paper |
| Fragility of arbitrage and bubbles in local martingale diffusion models | 2015-03-30 | Paper |
| Transaction costs, trading volume, and the liquidity premium | 2014-11-14 | Paper |
| Abstract, classic, and explicit turnpikes | 2014-11-14 | Paper |
| Portfolio Choice with Transaction Costs: A User’s Guide | 2013-09-11 | Paper |
| The fundamental theorem of asset pricing under transaction costs | 2012-12-07 | Paper |
| Portfolios and risk premia for the long run | 2012-04-20 | Paper |
| The fundamental theorem of asset pricing for continuous processes under small transaction costs | 2012-03-08 | Paper |
| RELAXED UTILITY MAXIMIZATION IN COMPLETE MARKETS | 2011-11-21 | Paper |
| No free lunch under transaction costs for continuous processes | 2008-07-01 | Paper |
| Optimal importance sampling with explicit formulas in continuous time | 2008-06-18 | Paper |
| Consistent price systems and face-lifting pricing under transaction costs | 2008-04-23 | Paper |
| NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND | 2008-04-03 | Paper |
| Asymmetric information in fads models | 2006-12-08 | Paper |
| Super-replication and utility maximization in large financial markets | 2005-12-07 | Paper |
| Necessary conditions for the existence of utility maximizing strategies under transaction costs | 2005-04-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4652773 | 2005-02-28 | Paper |
| Optimal investment with transaction costs and without semimartingales | 2003-05-06 | Paper |
| Risk minimization under transaction costs | 2002-11-21 | Paper |
| Mean–variance hedging with random volatility jumps | 2002-01-01 | Paper |
| Mean-variance hedging for stochastic volatility models | 2001-03-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4382553 | 1999-09-21 | Paper |
| Existence of an equilibrium with limited stock market participation and power utilities | N/A | Paper |
