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Lars Tyge Nielsen

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Personal Details

First Name: Lars
Middle Name: Tyge
Last Name: Nielsen
Suffix:

RePEc Short-ID: pni31

Email: [This author has chosen not to make the email address public]
Homepage: http://www.ltnielsen.com
Postal Address:
Phone:

Affiliation

Columbia University - Faculty of Arts and Sciences - Department of Mathematics
Homepage: http://www.math.columbia.edu
Location: 2990 Broadway, New York, New York, USA

Works

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Working papers

  1. Nielsen, Lars Tyge & Vassalou, Maria, 1998. "Performance Measures for Dynamic Portfolio Management," CEPR Discussion Papers 1885, C.E.P.R. Discussion Papers.
  2. Lajeri, Fatma & Nielsen, Lars Tyge, 1997. "Parametric Characterizations of Risk Aversion and Prudence," CEPR Discussion Papers 1650, C.E.P.R. Discussion Papers.
  3. Nielsen, Lars Tyge, 1997. "Monotone Risk Aversion," CEPR Discussion Papers 1651, C.E.P.R. Discussion Papers.
  4. Nielsen, Lars Tyge & Vassalou, Maria, 1997. "Portfolio Selection and Asset Pricing with Dynamically Incomplete Markets and Time-varying First and Second Moments," CEPR Discussion Papers 1652, C.E.P.R. Discussion Papers.
  5. Lars Tyge Nielsen, 1990. "Common Knowledge of Price and Expected Cost in an Oligopolistic Market," Discussion Papers 90-19, University of Copenhagen. Department of Economics.
  6. Lars Tyge Nielsen, 1990. "Common Knowledge of a Multivariate Aggregate Statistic," CEPR Financial Markets Paper 0003, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ.
  7. Lars Tyge Nielsen, 1988. "Aggregation of Expectations, Common Information, and Revealing Rational Expectations Equilibrium," Discussion Papers 88-09, University of Copenhagen. Department of Economics.

Articles

  1. Lars Nielsen, 2007. "Dividends in the theory of derivative securities pricing," Economic Theory, Springer, vol. 31(3), pages 447-471, June.
  2. Lars Nielsen & Maria Vassalou, 2006. "The instantaneous capital market line," Economic Theory, Springer, vol. 28(3), pages 651-664, 08.
  3. Lars Nielsen, 2005. "Monotone risk aversion," Economic Theory, Springer, vol. 25(1), pages 203-215, 01.
  4. Nielsen, Lars Tyge & Vassalou, Maria, 2004. "Sharpe Ratios and Alphas in Continuous Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(01), pages 103-114, March.
  5. Lars Tyge Nielsen & Fatma Lajeri, 2000. "Parametric characterizations of risk aversion and prudence," Economic Theory, Springer, vol. 15(2), pages 469-476.
  6. Lars Tyge Nielsen, 1999. "Differentiable von Neumann-Morgenstern utility," Economic Theory, Springer, vol. 14(2), pages 285-296.
  7. Nielsen, Lars Tyge, 1996. "Common knowledge: The case of linear regression," Journal of Mathematical Economics, Elsevier, vol. 26(3), pages 285-304.
  8. Nielsen, Lars Tyge, 1995. "Common Knowledge of a Multivariate Aggregate Statistic," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 36(1), pages 207-16, February.
  9. Nielsen, Lars Tyge, 1994. "Pareto optima in incomplete financial markets," Journal of Mathematical Economics, Elsevier, vol. 23(1), pages 87-100, January.
  10. Tyge Nielsen, Lars, 1993. "The expected utility of portfolios of assets," Journal of Mathematical Economics, Elsevier, vol. 22(5), pages 439-461.
  11. Nielsen, Lars Tyge, 1993. "Robustness of the Market Model," Economic Theory, Springer, vol. 3(2), pages 365-69, April.
  12. Nielsen, Lars Tyge, 1992. " Positive Prices in CAPM," Journal of Finance, American Finance Association, vol. 47(2), pages 791-808, June.
  13. Nielsen, Lars Tyge, 1992. "The utility of infinite menus," Economics Letters, Elsevier, vol. 39(1), pages 43-47, May.
  14. Nielsen, Lars Tyge, et al, 1990. "Common Knowledge of an Aggregate of Expectations," Econometrica, Econometric Society, vol. 58(5), pages 1235-39, September.
  15. Nielsen, Lars Tyge, 1990. "Equilibrium in CAPM without a Riskless Asset," Review of Economic Studies, Wiley Blackwell, vol. 57(2), pages 315-24, April.
  16. Nielsen, Lars Tyge, 1990. "Existence of equilibrium in CAPM," Journal of Economic Theory, Elsevier, vol. 52(1), pages 223-231, October.
  17. Nielsen, Lars Tyge, 1989. "Asset Market Equilibrium with Short-Selling," Review of Economic Studies, Wiley Blackwell, vol. 56(3), pages 467-73, July.
  18. Nielsen, Lars Tyge, 1988. "Comparative risk aversion," Economics Letters, Elsevier, vol. 27(4), pages 321-325.
  19. Nielsen, Lars Tyge, 1988. "Uniqueness of Equilibrium in the Classical Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 329-336, September.
  20. Nielsen, Lars Tyge, 1987. " Portfolio Selection in the Mean-Variance Model: A Note," Journal of Finance, American Finance Association, vol. 42(5), pages 1371-76, December.
  21. Nielsen, Lars Tyge, 1987. " Positively Weighted Frontier Portfolios: A Note," Journal of Finance, American Finance Association, vol. 42(2), pages 471, June.
  22. Nielsen, Lars Tyge, 1987. "Corrigenda," Mathematical Social Sciences, Elsevier, vol. 14(2), pages 193-194, October.
  23. Nielsen, Lars Tyge, 1985. " Attractive Compounds of Unattractive Investments and Gambles," Scandinavian Journal of Economics, Wiley Blackwell, vol. 87(3), pages 463-73.
  24. Nielsen, Lars Tyge, 1984. "Unbounded expected utility and continuity," Mathematical Social Sciences, Elsevier, vol. 8(3), pages 201-216, December.
  25. Nielsen, Lars Tyge, 1984. "Common knowledge, communication, and convergence of beliefs," Mathematical Social Sciences, Elsevier, vol. 8(1), pages 1-14, August.
  26. Nielsen, Lars Tyge, 1984. "Risk sensitivity in bargaining with more than two participants," Journal of Economic Theory, Elsevier, vol. 32(2), pages 371-376, April.
  27. Nielsen, Lars Tyge, 1983. "Pareto optima, non-convexities and regulated market equilibria," Journal of Mathematical Economics, Elsevier, vol. 11(1), pages 57-63, January.
  28. Neilsen, Lars Tyge, 1983. "Ordinal Interpersonal Comparisons in Bargaining," Econometrica, Econometric Society, vol. 51(1), pages 219-21, January.

Books

  1. Nielsen, Lars Tyge, 1999. "Pricing and Hedging of Derivative Securities," OUP Catalogue, Oxford University Press, number 9780198776192.

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