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Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans. (1988). Dybvig, Philip ; Huang, Chi-Fu.
In: Cowles Foundation Discussion Papers.
RePEc:cwl:cwldpp:860.

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  1. .

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  2. Price impact, strategic interaction and portfolio choice. (2022). Curatola, Giuliano.
    In: The North American Journal of Economics and Finance.
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  3. Fundamentals of Perpetual Futures. (2022). von Wachter, Victor ; Ross, Omri ; Manela, Asaf ; He, Songrun.
    In: Papers.
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  4. No-Arbitrage Pricing, Dynamics and Forward Prices of Collateralized Derivatives. (2022). Calvelli, Alessio.
    In: Papers.
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  5. Optimal investment and consumption when allowing terminal debt. (2017). Chen, AN ; Vellekoop, Michel .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:258:y:2017:i:1:p:385-397.

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  6. Financial Asset Pricing Theory. (2015). Munk, Claus .
    In: OUP Catalogue.
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  7. Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function. (2015). Bensoussan, Alain ; Koo, Hyeng Keun ; Cadenillas, Abel.
    In: Mathematics of Operations Research.
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  8. Asset pricing with arbitrage activity. (2015). Hugonnier, Julien ; Prieto, Rodolfo .
    In: Journal of Financial Economics.
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  9. Extraneous Risk: Pricing of Non-Systematic Risk. (2015). Beom, KI ; Jhang, Hogyu .
    In: Annals of Economics and Finance.
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  10. Optimal portfolio choice and consistent performance. (2014). Tian, Weidong ; Chen, Xianzhe.
    In: Decisions in Economics and Finance.
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  11. Portfolio Choice with Illiquid Assets. (2014). Westerfield, Mark ; Papanikolaou, Dimitris ; Ang, Andrew.
    In: Management Science.
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  12. Optimal multi-period consumption and investment with short-sale constraints. (2014). ARISOY, Yakup ; Altay-Salih, Aslhan ; Arsoy, Yakup Eser ; Pnar, Mustafa .
    In: Finance Research Letters.
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  13. Consumption and bubbles. (2013). Willard, Gregory A. ; Loewenstein, Mark .
    In: Journal of Economic Theory.
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  14. A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications. (2013). Chang, Charles ; Lin, Shih-Kuei ; Fuh, Cheng-Der.
    In: Journal of Banking & Finance.
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  15. Rational asset pricing bubbles and portfolio constraints. (2012). Hugonnier, Julien.
    In: Journal of Economic Theory.
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  16. Upgrading investment regulations in second pillar pension systems : a proposal for Colombia. (2011). Castaneda, Pablo ; Rudolph, Heinz P..
    In: Policy Research Working Paper Series.
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  17. Modeling non-monotone risk aversion using SAHARA utility functions. (2011). Pelsser, Antoon ; Chen, AN ; Vellekoop, Michel .
    In: Journal of Economic Theory.
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  18. The risk neutral valuation paradox. (2011). Fiori-Maccioni, A..
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  19. Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox. (2011). Maccioni, Alessandro Fiori.
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  20. Asset Allocation. (2010). Wachter, Jessica.
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  21. Strict Local Martingales in Continuous Financial Market Models. (2009). Hulley, Hardy.
    In: PhD Thesis.
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  22. Strict Local Martingales in Continuous Financial Market Models. (2009). Hulley, Hardy .
    In: PhD Thesis.
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  23. Ambiguity, Risk and Portfolio Choice under Incomplete Information. (2009). Miao, Jianjun.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2009:v:10:i:2:p:257-279.

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  24. Bankruptcy in long-term investments. (2008). Yang, Dennis ; Zhang, Qiang ; Yu, Minjie .
    In: Quantitative Finance.
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  25. Multifrequency jump-diffusions: An equilibrium approach. (2008). Fisher, Adlai ; Calvet, Laurent.
    In: Journal of Mathematical Economics.
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  26. Ambiguity Aversion and the Term Structure of Interest Rates. (2007). Trojani, Fabio ; Gagliardini, Patrick ; Porchia, Paolo .
    In: University of St. Gallen Department of Economics working paper series 2007.
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  27. Heterogeneous preferences and equilibrium trading volume. (2007). Rindisbacher, Marcel ; Berrada, Tony ; Hugonnier, Julien.
    In: Journal of Financial Economics.
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  28. Financial markets in continuous time. (2007). Jeanblanc, Monique ; Dana, Rose-Anne .
    In: Economics Papers from University Paris Dauphine.
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  29. The Derivatives Sourcebook. (2006). Scholes, Myron ; merton, robert ; Lo, Andrew ; Lim, Terence.
    In: Foundations and Trends(R) in Finance.
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  30. Managerial Preferences, Corporate Governance, and Financial Structure. (2006). Miao, Jianjun ; Liu, Hong.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2006-020.

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  31. Testing market efficiency using statistical arbitrage with applications to momentum and value strategies. (2004). Jarrow, Robert ; Teo, Melvyn ; Hogan, Steve ; Warachka, Mitch .
    In: Journal of Financial Economics.
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  32. Optimum Consumption and Portfolio Allocations under Incomplete Information. (2004). Roche, Herve .
    In: Econometric Society 2004 Latin American Meetings.
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  33. State Tameness: A New Approach for Credit Constrains. (2004). Londono, Jaime A..
    In: Papers.
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  34. Market imperfections , equilibrium and arbitrage. (2003). Jouini, Elyès.
    In: Post-Print.
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  35. Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?. (2003). Longstaff, Francis ; LIU, JUN ; Matthias, Kahl ; Longstaff Francis A., ; Jun, Liu.
    In: Journal of Financial Economics.
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  36. Risk aversion and allocation to long-term bonds. (2003). Wachter, Jessica.
    In: Journal of Economic Theory.
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  37. Intertemporal asset pricing theory. (2003). Duffie, Darrell.
    In: Handbook of the Economics of Finance.
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  38. A two-person dynamic equilibrium under ambiguity. (2003). Miao, Jianjun ; Epstein, Larry.
    In: Journal of Economic Dynamics and Control.
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  39. Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?. (2002). Longstaff, Francis ; LIU, JUN ; Kahl, Matthias .
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  40. Optimal Investment With Default Risk. (2002). Jin, Xiangrong ; Hou, Yuanfeng .
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  41. Dynamic asset allocation with mean variance preferences and a solvency constraint. (2002). Nguyen, Pascal ; Portait, Roland .
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  42. Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach. (2001). Bertsimas, Dimitris ; Lo, Andrew W ; Kogan, Leonid.
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  43. Precautionary saving and portfolio allocation: DP by GMM. (2001). Smith, Gregor ; Letendre, Marc-Andre.
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  44. Dynamic Asset Allocation with Event Risk. (2001). pan, jun ; LIU, JUN ; Longstaff, Francis .
    In: University of California at Los Angeles, Anderson Graduate School of Management.
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  45. Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it?. (2001). LIU, JUN ; Longstaff, Francis A ; Kahl, Matthias .
    In: University of California at Los Angeles, Anderson Graduate School of Management.
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  46. Ambiguity, Risk and Portfolio Choice under Incomplete Information. (2001). Miao, Jianjun.
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  47. On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market. (2000). Loewenstein, Mark .
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  48. Rational Equilibrium Asset-Pricing Bubbles in Continuous Trading Models. (2000). Willard, Gregory A. ; Loewenstein, Mark .
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  49. Optimal Consumption and Investment with Levy Processes. (2000). Fajardo, José.
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  50. Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities. (2000). LIU, JUN ; Longstaff, Francis A.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
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  51. Viability and Equilibrium in Securities Markets with Frictions. (1999). Jouini, Elyès ; Kallal, Hedi ; hedi, Hachani.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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  52. Viability and equilibrium in securities markets with frictions. (1999). Jouini, Elyes ; Kallal, Hedi .
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  53. Optimal spreading when spreading is optimal. (1998). lioui, abraham ; Eldor, Rafi.
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  54. Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model. (1997). Lo, Andrew ; Kogan, Leonid ; Bertsimas, Dimitris.
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  55. Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach. (1997). Lo, Andrew ; Bertsimas, Dimitris., .
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  56. Optimal Consumption and Portfolio Choice with Borrowing Constraints. (1997). Vila, Jean-Luc ; Zariphopoulou, Thaleia.
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    In: NBER Working Papers.
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  27. Agency Costs, Risk Management, and Capital Structure.. (1998). Leland, Hayne.
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