The Bellman equation for power utility maximization with semimartingales
The Capital Asset Pricing Model as a corollary of the Black-Scholes model
The dual optimizer for the growth-optimal portfolio under transaction costs
The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets
The Nature of Alpha
The Opportunity Process for Optimal Consumption and Investment with Power Utility
The premium of dynamic trading
The structure of optimal portfolio strategies for continuous time markets
Trading Model with Pair Pattern Strategies
Transaction Costs, Trading Volume, and the Liquidity Premium
Transaction fees and optimal rebalancing in the growth-optimal portfolio