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A lattice approach for pricing of multivariate contingent claims
Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market
Optimal portfolio and consumption decisions in a stochastic environment with precommitment
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Exact and asymptotic tests on a factor model in low and large dimensions with applications
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Systemic losses due to counterparty risk in a stylized banking system
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Mean-variance versus expected utility in dynamic investment analysis
Intertemporal surplus management
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The mean-variance investment problem in a constrained financial market
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Risk taking by banks and capital accumulation: A portfolio approach
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Semi- and nonparametric ARCH processes
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Risk measurement in semimartingale models with multiple consumption goods
Parameter estimation in stochastic scenario generation systems
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Esscher transforms and consumption-based models
Monotonicity and continuity of the critical capital stock in the Dechert-Nishimura model
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Static and dynamic factors in an information-based multi-asset artificial stock market
Nonmyopic optimal portfolios in viable markets
Cleaning large correlation matrices: tools from random matrix theory
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Reconstructing an economic space from a market metric
Portfolio selections under mean-variance preference with multiple priors for means and variances
UNCERTAINTY AVERSION, ROBUST CONTROL AND ASSET HOLDINGS WITH A STOCHASTIC INVESTMENT OPPORTUNITY SET
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Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets
Dynamic asset pricing theory with uncertain time-horizon
Dynamic asset allocation with mean variance preferences and a solvency constraint
Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles
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On the structure of multifactor optimal portfolio strategies
Risk perception and equity returns: evidence from the SPX and VIX
Building multi-scale portfolios and efficient market frontiers using fractal regressions
Application of intertemporal CAPM on international corporate finance
Optimal contribution rate of PAYGO pension
Consumption-based CAPM with belief heterogeneity
Leveraged investments and agency conflicts when cash flows are mean reverting
THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL
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Dynamic consumption and asset allocation with derivative securities
A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle
On incorporating business risk into continuous review inventory models
Price volatility and risk with non-separability of preferences
Recent developments of statistical approaches in aspects of accounting: a review
Should commodity investors follow commodities' prices?
Gain/loss asymmetric stochastic differential utility
Detecting at-most-\(\mathfrak{m}\) changes in linear regression models
Term structure of discount rates for firms in the insurance industry
Beta-anomaly: evidence from the Indian equity market
Intertemporal risk-return tradeoff in the short-run
Heterogeneous information arrival and option pricing
Uncertainty aversion, robust control and asset holdings
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Optimization of portfolio compositions for small and medium price-taking traders
Schumpeterian competition in a Lucas economy
Investment decisions when utility depends on wealth and other attributes
Green transition, investment horizon, and dynamic portfolio decisions
Mean-variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem

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