Work

Filtered by: Financial Engineeringx

On the Microeconomic Theory of Investment Under Uncertainty

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

A Reexamination of the Capital Asset Pricing Model

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

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

Book Review of Studies in the Theory of Capital Markets

A Golden Golden-Rule for Welfare-Maximization in an Economy with a Varying Population Growth Rate