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A Monte Carlo Method for Optimal Portfolios.
- Published in:
- Journal of Finance (Wiley-Blackwell), 2003, v. 58, n. 1, p. 401, doi. 10.1111/1540-6261.00529
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- Article
Representation formulas for Malliavin derivatives of diffusion processes.
- Published in:
- Finance & Stochastics, 2005, v. 9, n. 3, p. 349, doi. 10.1007/s00780-004-0151-6
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- Article
Dynamic Noisy Rational Expectations Equilibrium With Insider Information.
- Published in:
- Econometrica, 2020, v. 88, n. 6, p. 2697, doi. 10.3982/ECTA17038
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- Article
CLOSED-FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS.
- Published in:
- Mathematical Finance, 2005, v. 15, n. 4, p. 539, doi. 10.1111/j.1467-9965.2005.00250.x
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- Article
A Structural Model of Dynamic Market Timing.
- Published in:
- Review of Financial Studies, 2013, v. 26, n. 10, p. 2492, doi. 10.1093/rfs/hht028
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- Article
Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications.
- Published in:
- Review of Financial Studies, 2010, v. 23, n. 1, p. 25, doi. 10.1093/rfs/hhp040
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- Article
Vanishing Contagion Spreads.
- Published in:
- Management Science, 2022, v. 68, n. 1, p. 740, doi. 10.1287/mnsc.2020.3868
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- Article
Asymptotic Properties of Monte Carlo Estimators of Derivatives.
- Published in:
- Management Science, 2005, v. 51, n. 11, p. 1657, doi. 10.1287/mnsc.1050.0398
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- Article