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Optimal consumption and portfolio selection with stochastic differential utility

Schroder, Mark D.; Skiadas, Costis - In: Journal of economic theory 89 (1999) 1, pp. 68-126

Persistent link: https://www.econbiz.de/10001418784

A term structure model with preferences for the timing of resolution of uncertainty

Duffie, Darrell - In: Economic theory : official journal of the Society for … 9 (1997) 1, pp. 3-22

Persistent link: https://www.econbiz.de/10001335757

Private information, securities lending, and asset prices

Nezafat, Mahdi; Schroder, Mark D. - In: The review of financial studies 35 (2022) 2, pp. 1009-1063

Persistent link: https://www.econbiz.de/10012878981

Short-sale constraints, information acquisition, and asset prices

Nezafat, Mahdi; Schroder, Mark D.; Wang, Qinghai - In: Journal of economic theory 172 (2017), pp. 273-312

Persistent link: https://www.econbiz.de/10011777061

OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION

Schroder, Mark; Skiadas, Costis - In: Mathematical Finance 18 (2008) 2, pp. 199-238

Persistent link: https://www.econbiz.de/10005023819

A Reduction Method Applicable to Compound Option Formulas

Schroder, Mark - In: Management Science 35 (1989) 7, pp. 823-827

Curnow and Dunnett (Curnow, R. N., C. W. Dunnett. 1962. The numerical evaluation of certain multivariate normal integrals. Ann. Math. Statist. 33 571--579.) derive a reduction formula for multivariate normal integrals with a certain type of correlation matrix. This paper presents a more general...

Persistent link: https://www.econbiz.de/10009214117

Risk-Neutral Parameter Shifts and Derivatives Pricing in Discrete Time

Schroder, Mark - In: The journal of finance : the journal of the American … 59 (2004) 5, pp. 2375-2402

Persistent link: https://www.econbiz.de/10006549759

The tradeoff between risk sharing and information production in financial markets

Khanna, Naveen; Schroder, Mark - In: Journal of economic theory 145 (2010) 1, pp. 124-156

Persistent link: https://www.econbiz.de/10008371715

OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION

Schroder, Mark; Skiadas, Costis - In: Mathematical finance : an international journal of … 18 (2008) 2, pp. 199-238

Persistent link: https://www.econbiz.de/10008221223

Optimal Consumption and Portfolio Selection with Stochastic Differential Utility

Schroder, Mark; Skiadas, Costis - In: Journal of economic theory 89 (1999) 1, pp. 68-126

Persistent link: https://www.econbiz.de/10007683653

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