John P. Lehoczky

Carnegie Mellon University

Pittsburgh, PA 15213-3890

United States

  • Carnegie Mellon University

SCHOLARLY PAPERS

10

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1,496

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in Total Papers Citations

25

Scholarly Papers (10)

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1.

Cross-Sectional Stock Option Pricing and Factor Models of Returns

EFA 2008 Athens Meetings Paper, AFA 2009 San Francisco Meetings Paper
Number of pages: 46 Posted: 23 Dec 2008 Last Revised: 04 Jan 2009
Mihaela Serban, John P. Lehoczky and Duane J. Seppi
Morgan Stanley, Carnegie Mellon University and Carnegie Mellon University - David A. Tepper School of Business
Downloads 806 (65,150)
Citation 9

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objective measure, option, risk premium, return, risk-neutral measure, volatility

2.

A Comparison of the Ito and Stratonovich Formulations of Problems in Finance

Journal of Economic Dynamics and Control,Vol. 3, pp. 343-356, November 1981
Number of pages: 8 Posted: 18 Jan 2008 Last Revised: 27 Mar 2014
Suresh Sethi and John P. Lehoczky
University of Texas at Dallas - Naveen Jindal School of Management and Carnegie Mellon University
Downloads 278 (230,353)
Citation 1

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Option pricing, Black-Scholes, Ito Calculus, Stratonovich Calculus, finance

3.

Explicit Solution of a General Consumption/Investment Problem

Mathematics of Operations Research, Vol. 11, No. 2, pp. 261-294, May 1986
Number of pages: 34 Posted: 22 Jan 2008 Last Revised: 07 Nov 2015
Ioannis Karatzas, John P. Lehoczky, Suresh Sethi and Steven E. Shreve
Columbia University - Department of Statistics, Carnegie Mellon University, University of Texas at Dallas - Naveen Jindal School of Management and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 219 (291,681)
Citation 4

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Mutual fund theorem,investment-consumption problem, consumption/portfolio problem, dynamic programming, stochastic control, bankruptcy,Brownian motion

4.

Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy

Mathematics of Operations Research, Vol. 8, No. 4, pp. 613-636, November 1983
Number of pages: 114 Posted: 20 Jan 2008 Last Revised: 24 Mar 2011
John P. Lehoczky, Suresh Sethi and Steven E. Shreve
Carnegie Mellon University, University of Texas at Dallas - Naveen Jindal School of Management and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 63 (727,052)
Citation 5

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Consumption and Investment Problem, bankruptcy, dynamic programming, stochastic control

5.

Mathematical Analysis of the Miller-Modigliani Theory

Operations Research Letters, Vol. 1, Issue 4, pp. 148-152, September 1982
Number of pages: 5 Posted: 22 Jan 2008 Last Revised: 06 May 2017
Suresh Sethi, N. A. Derzko and John P. Lehoczky
University of Texas at Dallas - Naveen Jindal School of Management, University of Toronto and Carnegie Mellon University
Downloads 54 (783,108)

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MM Theory, Miller-Modigliani theory, partial equlibrium, dividend approach, cash flow approach, valuation of firm. arbitrage pricing, share repurchase, MM theory, financial valuation, infinite horizon firm

6.

General Solution of the Stochastic Price-Dividend Integral Equation: A Theory of Financial Valuation

SIAM Journal on Mathematical Analysis, Vol. 15, No. 6, pp. 1100-1113, 1984
Number of pages: 14 Posted: 06 Feb 2008 Last Revised: 30 Apr 2014
Suresh Sethi, N. A. Derzko and John P. Lehoczky
University of Texas at Dallas - Naveen Jindal School of Management, University of Toronto and Carnegie Mellon University
Downloads 51 (804,094)
Citation 2

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Price-Dividend Equation, Theory of Financial Valuation, Miller-Modigliani theory, MM theory, stochastic firm, integral equations, cash-flow approach, dividend approch, share price, tranversality condition, martingales, arbitrage, partial equilibrium, share repurchase, risk aversion, risk neutrality

7.

An Asymptotic Analysis of Hierarchical Control of Manufacturing Systems Under Uncertainty

Mathematics of Operations Research, Vol. 16, No. 3, pp. 596-608, 1991
Number of pages: 14 Posted: 26 Feb 2008 Last Revised: 09 May 2017
John P. Lehoczky, Suresh Sethi, Halil Mete Soner and Michael I. Taksar
Carnegie Mellon University, University of Texas at Dallas - Naveen Jindal School of Management, Koc University - College of Administrative Sciences and Economics and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 25 (1,044,431)
Citation 4

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effects of breakdowns, hierarchical control, Manufacturing systems, optimal control,stochastic machine availability, asymptotic analysis, production planning

8.

Degenerate Diffusion Processes in Portfolio Management

Proceedings of the 1982 American Control Conference, Arlington, VA, June 14-16, 1982
Posted: 16 Jun 2020
John P. Lehoczky, Suresh Sethi and Steven E. Shreve
Carnegie Mellon University, University of Texas at Dallas - Naveen Jindal School of Management and Carnegie Mellon University - Department of Mathematical Sciences

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Diffusion Processes, Portfolios, Investments, Filtration, Stochastic Processes, Utility Theory, Continuous Time Systems, Motion Control, Process Control

9.

An Asymptotic Analysis of Hierarchical Control of Manufacturing Systems

Proceedings of the 27th IEEE Conference on Decision and Control, Austin, Texas, Dec. 7-9, 1988, 1856-1857
Posted: 04 Jun 2020
Halil Mete Soner, John P. Lehoczky, Suresh Sethi and Michael I. Taksar
Koc University - College of Administrative Sciences and Economics, Carnegie Mellon University, University of Texas at Dallas - Naveen Jindal School of Management and University of Missouri at Columbia - Department of Mathematics (Deceased)

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asymptotic analysis, hierarchical control

10.

Overview and History of Statistics for Equity Markets

Annual Review of Statistics and Its Application, Vol. 5, Issue 1, pp. 265-288, 2018
Posted: 05 Apr 2018
John P. Lehoczky and Mark Schervish
Carnegie Mellon University and Carnegie Mellon University

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