Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump–diffusion model

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

Myopia and Inconsistency in Dynamic Utility Maximization

Robert H. Strotz · The Review of Economic Studies · 1955 · 2.9K citations

Social Sciences, Economics, Decision Theory +16

Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework

Xun Yu Zhou, Duan Li · Applied Mathematics & Optimization · 2000 · 1.1K citations

Business, Finance, Financial Management +14

Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation

Duan Li, Wan‐Lung Ng · Mathematical Finance · 2000 · 1K citations

Business, Finance, Financial Management +17

MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

Tomas Björk, Agatha Murgoci, Xun Yu Zhou · Mathematical Finance · 2012 · 528 citations · Full text

Social Sciences, Economics, Finance +17