A monetary value for initial information in portfolio optimization

Limit Theorems for Stochastic Processes.

Ditlev Monrad, Jean Jacod, Albert N. Shiryaev · Journal of the American Statistical Association · 1988 · 4.2K citations

Engineering, Mathematics, Financial Economics +16

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

The asymptotic elasticity of utility functions and optimal investment in incomplete markets

Dmitry Kramkov, Walter Schachermayer · The Annals of Applied Probability · 1999 · 986 citations · Full text

Business, Economics, Finance +15

The fundamental theorem of asset pricing for unbounded stochastic processes

Freddy Delbaen, Walter Schachermayer · Mathematische Annalen · 1998 · 739 citations

Engineering, Economics, Finance +16

Optimal replication of contingent claims under transaction costs

Sarah Hodges · Medical Entomology and Zoology · 1989 · 629 citations

Business, Business Economics, Economics +5