Optimal trading strategy for an investor: the case of partial information

Stochastic Differential Equations: Theory and Applications.

P. Whittle, Ludwig Arnold · Journal of the Royal Statistical Society Series A (General) · 1976 · 2.4K citations

Engineering, Mathematics, Differential Equations +11

An Intertemporal General Equilibrium Model of Asset Prices

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 2.1K citations

Social Sciences, Economics, Asset Pricing +15

Optimal consumption and portfolio policies when asset prices follow a diffusion process

John C. Cox, Chi-fu Huang · Journal of Economic Theory · 1989 · 1.7K citations

Business, Economics, Finance +17

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

Social Sciences, Economics, Finance +17

Brownian Motion and Stochastic Calculus.

Richard L. Dykstra, Ioannis Karatzas, Steven E. Schreve · Journal of the American Statistical Association · 1989 · 969 citations

Engineering, Mathematics, Probability Theory +13