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- Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
- Baojun Bian & Harry Zheng, 2014. "Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions," Papers 1409.7802, arXiv.org.
- Paolo Guasoni & Gu Wang, 2015. "Hedge and mutual funds’ fees and the separation of private investments," Finance and Stochastics, Springer, vol. 19(3), pages 473-507, July.
- Hammarlid, Ola, 2005. "When to accept a sequence of gambles," Journal of Mathematical Economics, Elsevier, vol. 41(8), pages 974-982, December.
- Kasper Larsen & Hang Yu, 2012. "Horizon dependence of utility optimizers in incomplete models," Finance and Stochastics, Springer, vol. 16(4), pages 779-801, October.
- Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December.
- Vassili Kolokoltsov & Wei Yang, 2012. "Turnpike Theorems for Markov Games," Dynamic Games and Applications, Springer, vol. 2(3), pages 294-312, September.
- Guasoni, Paolo & Muhle-Karbe, Johannes & Xing, Hao, 2017. "Robust portfolios and weak incentives in long-run investments," LSE Research Online Documents on Economics 60577, London School of Economics and Political Science, LSE Library.
- Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer, 2011. "Transaction Costs, Trading Volume, and the Liquidity Premium," Papers 1108.1167, arXiv.org, revised Jan 2013.
- Paolo Guasoni & Scott Robertson, 2012. "Portfolios and risk premia for the long run," Papers 1203.1399, arXiv.org.
- Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer, 2014. "Transaction costs, trading volume, and the liquidity premium," Finance and Stochastics, Springer, vol. 18(1), pages 1-37, January.
- Erik Aurell & Paolo Muratore-Ginanneschi, 2005. "Optimal hedging of Derivatives with transaction costs," Papers physics/0509150, arXiv.org, revised Dec 2005.
- Paolo Guasoni & Johannes Muhle-Karbe & Hao Xing, 2013. "Robust Portfolios and Weak Incentives in Long-Run Investments," Papers 1306.2751, arXiv.org, revised Aug 2014.
- Paolo Guasoni & Constantinos Kardaras & Scott Robertson & Hao Xing, 2014. "Abstract, classic, and explicit turnpikes," Finance and Stochastics, Springer, vol. 18(1), pages 75-114, January.
- Bahman Angoshtari, 2016. "On the Market-Neutrality of Optimal Pairs-Trading Strategies," Papers 1608.08268, arXiv.org.
- Vladimir Cherny & Jan Obloj, 2013. "Optimal portfolios of a long-term investor with floor or drawdown constraints," Papers 1305.6831, arXiv.org.
- Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.
- Boyle, Phelim & Tian, Weidong, 2008. "The design of equity-indexed annuities," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 303-315, December.
- Scott Robertson & Hao Xing, 2014. "Long Term Optimal Investment in Matrix Valued Factor Models," Papers 1408.7010, arXiv.org.
- Bian, Baojun & Zheng, Harry, 2015. "Turnpike property and convergence rate for an investment model with general utility functions," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 28-49.
- Wachter, Jessica A., 2003. "Risk aversion and allocation to long-term bonds," Journal of Economic Theory, Elsevier, vol. 112(2), pages 325-333, October.
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