Work

On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts

On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills

On Estimating the Expected Return on the Market: An Exploratory Investigation

Capital Requirements in the Regulation of Financial Intermediaries: A Discussion

The Returns and Risk of Alternative Call Option Portfolio Investment Strategies

On the Cost of Deposit Insurance When There Are Surveillance Costs

On the Microeconomic Theory of Investment Under Uncertainty [Working Paper]

A Reexamination of the Capital Asset Pricing Model

On the Pricing of Contingent Claims and the Modigliani-Miller Theorem

An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees : An Application of Modern Option Pricing Theory

The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns

Option Pricing When Underlying Stock Returns are Discontinuous

Continuous-Time Portfolio Theory and the Pricing of Contingent Claims

An Asymptotic Theory of Growth Under Uncertainty

Theory of Finance from the Perspective of Continuous Time

The Optimality of a Competitive Stock Market

On the Pricing of Corporate Debt: The Risk Structure of Interest Rates

Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions

Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision Making over Many Periods

An Intertemporal Capital Asset Pricing Model