Concepedia
Statistics
Publications
48
Citations
6.7K
H-Index
33
Active since
1977
Affiliations
Carnegie Mellon University(Current)
Columbia University
Steven E. Shreve is an author at Carnegie Mellon University specializing in business, finance, and asset pricing.
Top concepts
BusinessFinanceAsset PricingEconomicsEngineeringEconomic AnalysisFinancial EconomicsProbabilityStochastic CalculusMathematical Programming
Publications per year
1977–2013
Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve · SIAM Journal on Control and Optimization · 1987 · 1.2K citations
General Consumption/investment Problem, Optimal Portfolio, Portfolio Management +23
Martingale and Duality Methods for Utility Maximization in an Incomplete Market
Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve et al. · SIAM Journal on Control and Optimization · 1991 · 827 citations
Market Equilibrium Computation, Financial Mathematics, Asset Pricing +17
Optimal Investment and Consumption with Transaction Costs
Steven E. Shreve, H. Meté Soner · The Annals of Applied Probability · 1994 · 659 citations · Full text
Proportional Transaction Costs, Economics, Computational Finance +14
Explicit Solution of a General Consumption/Investment Problem
Ioannis Karatzas, John P. Lehoczky, Suresh Sethi et al. · Mathematics of Operations Research · 1986 · 385 citations
General Consumption/investment Problem, Financial Mathematics, Asset Pricing +17
Robustness of the Black and Scholes Formula
Nicole El Karoui, Monique Jeanblanc‐Picquè, Steven E. Shreve · Mathematical Finance · 1998 · 379 citations
Economics, Black-scholes Model, Volatility Modeling +13
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