How to Squander Your Endowment: Pitfalls and Remedies

A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.5K citations

Empirical Finance, Monetary Policy, Economics +10

STOCHASTIC DIFFERENTIAL EQUATIONS: THEORY AND APPLICATIONS

David Williams · Bulletin of the London Mathematical Society · 1976 · 1.1K citations

Stochastic Calculus, Stochastic Differential Equation, Stochastic Differential Equations +1

Proof of the Quasi-Ergodic Hypothesis

John von Neumann · Proceedings of the National Academy of Sciences · 1932 · 416 citations · Full text

OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS

Sanford J. Grossman, Zhongquan Zhou · Mathematical Finance · 1993 · 396 citations

Optimal Policy, Portfolio Choice, Asset Pricing +18

The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling

Paul A. Samuelson · Proceedings of the National Academy of Sciences · 1971 · 231 citations · Full text