Concepedia

On optimal portfolio choice under stochastic interest rates

Abraham Lioui, Patrice Poncet

Journal of Economic Dynamics and Control · 2001 · 97 citations · 36 references

DOI

Concepts

References

36

A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations

, , +17

An Intertemporal Capital Asset Pricing Model

Robert C. Merton · Econometrica · 1973 · 6.8K citations

, , +17

Optimum consumption and portfolio rules in a continuous-time model

Robert C. Merton · Journal of Economic Theory · 1971 · 6.2K citations

, , +16

Martingales and arbitrage in multiperiod securities markets

J. Michael Harrison, David M. Kreps · Journal of Economic Theory · 1979 · 3.7K citations

, , +12

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

David Heath, Robert A. Jarrow, A. J. Morton · Econometrica · 1992 · 3.2K citations

, , +17