| . |
Nielsen, Lars Tyge's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
1,032 |
Total
Citations
18 |
|
|
|
|
|
1.
|
|
Sharpe Ratios and Alphas in Continuous Time
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Nielsen, Lars Tyge
affiliation not provided to SSRN Vassalou, Maria
Centre for Economic Policy Research (CEPR)
|
|
Posted:
|
|
15 Jul 03
|
|
Last Revised:
|
|
31 Aug 09
|
|
652
(17,703)
|
4
|
|
|
|
|
Nielsen, Lars Tyge
affiliation not provided to SSRN Vassalou, Maria
Centre for Economic Policy Research (CEPR)
|
| Posted: |
|
15 Jul 03
|
|
Last Revised:
|
|
31 Aug 09
|
|
0
|
|
|
| |
|
| |
Sharpe ratio, Jensen's alpha, performance evaluation, dynamic portfolio management
|
|
|
|
|
|
|
Nielsen, Lars Tyge
affiliation not provided to SSRN Vassalou, Maria
Centre for Economic Policy Research (CEPR)
|
|
652
|
4
|
|
| |
|
| |
Sharpe ratio, Jensen's alpha, performance evaluation, dynamic portfolio management
|
|
|
|
|
|
2.
|
|
The Instantaneous Capital Market Line
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Nielsen, Lars Tyge
affiliation not provided to SSRN Vassalou, Maria
Centre for Economic Policy Research (CEPR)
|
|
Posted:
|
|
30 May 05
|
|
Last Revised:
|
|
11 Mar 06
|
|
248
(59,734)
|
14
|
|
|
|
|
Nielsen, Lars Tyge
affiliation not provided to SSRN Vassalou, Maria
Centre for Economic Policy Research (CEPR)
|
|
0
|
|
|
| |
|
| |
Portfolio optimization, incomplete markets, capital market line, mutual fund separation
|
|
|
|
|
|
|
Nielsen, Lars Tyge
affiliation not provided to SSRN Vassalou, Maria
Centre for Economic Policy Research (CEPR)
|
|
248
|
14
|
|
| |
|
| |
Portfolio optimization, incomplete markets, capital market line, mutual fund separation.
|
|
|
|
|
|
3.
|
|
Monotone Risk Aversion
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Nielsen, Lars Tyge
affiliation not provided to SSRN
|
|
Posted:
|
|
01 Jul 04
|
|
Last Revised:
|
|
09 Mar 05
|
|
132
(109,236)
|
|
|
|
|
|
Nielsen, Lars Tyge
affiliation not provided to SSRN
|
|
0
|
|
|
| |
|
| |
Absolute risk aversion, relative risk aversion, decreasing risk aversion, increasing risk aversion, cumulative absolute risk aversion, cumulative relative risk aversion.
|
|
|
|
|
|
|
Nielsen, Lars Tyge
affiliation not provided to SSRN
|
|
132
|
|
|
| |
|
| |
Absolute risk aversion, relative risk aversion, decreasing risk aversion, increasing risk aversion, cumulative absolute risk aversion, cumulative relative risk aversion
|
|
|
|
|
|
4.
|
|
|
Nielsen, Lars Tyge
affiliation not provided to SSRN
|
| Posted: |
|
17 Sep 03
|
|
Last Revised:
|
|
30 Jan 10
|
|
|
|
|
| |
|
| |
Dividends, cumulative dividend process, derivatives pricing, martingale valuation
|
|
|
5.
|
|
|
Nielsen, Lars Tyge
affiliation not provided to SSRN
|
|
|
|
|
| |
|
| |
|
|
