Lars Tyge Nielsen

Columbia University

3022 Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

6

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Top 45,774

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1,241

SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.
Downloads 743 ( 42,484)
Citation 7

Sharpe Ratios and Alphas in Continuous Time

Number of pages: 26 Posted: 15 Jul 2003
Lars Tyge Nielsen and Maria Vassalou
Columbia University and Centre for Economic Policy Research (CEPR)
Downloads 743 (41,888)
Citation 7

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Sharpe ratio, Jensen's alpha, performance evaluation, dynamic portfolio management

Sharpe Ratios and Alphas in Continuous Time

Journal of Financial and Quantitative Analysis, Vol. 39, No. 1, pp. 103-114, March 2004
Posted: 15 Jul 2003 Last Revised: 31 Aug 2009
Lars Tyge Nielsen and Maria Vassalou
Columbia University and Centre for Economic Policy Research (CEPR)

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Sharpe ratio, Jensen's alpha, performance evaluation, dynamic portfolio management

The Instantaneous Capital Market Line

Number of pages: 20 Posted: 30 May 2005
Lars Tyge Nielsen and Maria Vassalou
Columbia University and Centre for Economic Policy Research (CEPR)
Downloads 318 (118,594)

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Portfolio optimization, incomplete markets, capital market line, mutual fund separation.

The Instantaneous Capital Market Line

Economic Theory, Vol. 28, No. 3, pp. 651-664, August 2006
Posted: 11 Mar 2006
Lars Tyge Nielsen and Maria Vassalou
Columbia University and Centre for Economic Policy Research (CEPR)

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Portfolio optimization, incomplete markets, capital market line, mutual fund separation

3.
Downloads 148 (245,182)
Citation 1

Monotone Risk Aversion

Number of pages: 21 Posted: 01 Jul 2004
Lars Tyge Nielsen
Columbia University
Downloads 148 (245,827)
Citation 1

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Absolute risk aversion, relative risk aversion, decreasing risk aversion, increasing risk aversion, cumulative absolute risk aversion, cumulative relative risk aversion

Monotone Risk Aversion

Posted: 09 Mar 2005
Lars Tyge Nielsen
Columbia University

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Absolute risk aversion, relative risk aversion, decreasing risk aversion, increasing risk aversion, cumulative absolute risk aversion, cumulative relative risk aversion.

4.

Instantaneous Arbitrage and the CAPM

Number of pages: 22 Posted: 28 Jan 2019
Lars Tyge Nielsen
Columbia University
Downloads 32 (560,237)

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Arbitrage, CAPM, prices of risk, Black-Scholes

5.

Dividends in the Theory of Derivative Securities Pricing

Economic Theory, Vol. 31, pp. 447-471, 2007
Posted: 17 Sep 2003 Last Revised: 30 Jan 2010
Lars Tyge Nielsen
Columbia University

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Dividends, cumulative dividend process, derivatives pricing, martingale valuation

6.

Differentiable Von Neumann-Morgenstern Utility

Posted: 14 Oct 1999
Lars Tyge Nielsen
Columbia University

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