Optimal portfolio policies with borrowing and shortsale constraints

The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets

The Review of Economics and Statistics · 1965 · 6.9K citations

Business, Finance, Risk Management +17

Capital Market Equilibrium with Restricted Borrowing

Fischer Black · The Journal of Business · 1972 · 3.2K citations

Business, Business Economics, Economics +13

Continuous-Time Finance.

Stephen A. Ross, Robert C. Merton · The Journal of Finance · 1991 · 1.8K citations

Social Sciences, Economics, Finance +8

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