Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach

Option pricing when underlying stock returns are discontinuous

Robert C. Merton · Journal of Financial Economics · 1976 · 6.1K citations · Full text

Business, Finance, Asset Pricing +16

Controlled markov processes and viscosity solutions

M. R. James · Stochastics and stochastics reports · 1994 · 1.1K citations

Engineering, Mathematics, Stochastic Processes +13

Optimum portfolio diversification in a general continuous-time model

Knut K. Aase · Stochastic Processes and their Applications · 1984 · 109 citations

Business, Finance, Financial Management +14

OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH

Ralf Korn, Paul Wilmott · International Journal of Theoretical and Applied Finance · 2002 · 50 citations

Business, Finance, Insurance +14