Lars Tyge Nielsen

Columbia University

3022 Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

5

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CITATIONS
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in Total Papers Citations

17

Scholarly Papers (5)

1.
Downloads 714 ( 28,747)
Citation 3

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 714 (28,286)
Citation 3

Abstract:

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)

Abstract:

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

2.
Downloads 297 ( 85,365)
Citation 14

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 297 (84,877)
Citation 14

Abstract:

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)

Abstract:

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

3.
Downloads 142 (173,616)

Monotone Risk Aversion

Number of pages: 21 Posted: 01 Jul 2004
Lars Tyge Nielsen
Columbia University
Downloads 142 (174,045)

Abstract:

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

Monotone Risk Aversion

Economic Theory, Vol. 25, pp. 203-215, 2005
Posted: 09 Mar 2005
Lars Tyge Nielsen
Columbia University

Abstract:

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

4.

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

Abstract:

Dividends, cumulative dividend process, derivatives pricing, martingale valuation

5.

Differentiable von Neumann-Morgenstern Utility

Economic Theory, Vol. 14, Iss. 2, August 1999
Posted: 14 Oct 1999
Lars Tyge Nielsen
Columbia University

Abstract: