Risk-Sensitive Dynamic Asset Management

Optimum consumption and portfolio rules in a continuous-time model

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

Social Sciences, Economics, Finance +16

Deterministic and Stochastic Optimal Control.

J. A. Bather, Wendell H. Fleming, Raymond Rishel · Journal of the Royal Statistical Society Series A (General) · 1976 · 2.7K citations

Natural Sciences, Mathematics, Differential Equations +16

Predictability of Stock Returns: Robustness and Economic Significance

M. Hashem Pesaran, Allan Timmermann · The Journal of Finance · 1995 · 1K citations

Business, Economics, Finance +16

A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios

Stanley R. Pliska · Mathematics of Operations Research · 1986 · 563 citations

Business, Finance, Mathematics +17

A stochastic calculus model of continuous trading: Complete markets

J. Michael Harrison, Stanley R. Pliska · Stochastic Processes and their Applications · 1983 · 439 citations

Engineering, Economics, Finance +16