Papers
Continuous-Time Stochastic Processes and Dynamic OptimizationCampbell (2000), "Diversification: A Bigger Free Lunch", Canadian Investment Review
Campbell (2003), "Lecture Notes on Diversification and the CAPM", unpublished notes.
Cochrane (1999), "Portfolio Advice for
a Multifactor World", Economic Perspectives (Chicago Fed)
Dynamic Consumption/Portfolio Rules
Merton (1971), "Optimal Consumption and Portfolio Rules in a Continuous-Time Model", Journal of Economic Theory
Option Pricing and Derivative Securities
Black and Scholes (1973), "The Pricing of Options and Corporate Liabilities", Journal of Political Economy
Black (1989), "How We Came Up with the Option Formula", Journal of Portfolio Management
The Consumption-Based CAPM Model
Lucas (1978), "Asset Prices in an Exchange Economy", Econometrica
Summers (1985), "Economics and Finance", Journal of Finance
Heterogeneous Beliefs
Harrison and Kreps (1978), "Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations", Quarterley J. of Economics
Scheinkman and Xiong (2003), "Overconfidence and Speculative Bubbles", Journal of Political Economy
Kasa, Walker, and Whiteman (2014), "Heterogeneous Beliefs and Tests of Present Value Models", Review of Economic Studies
Equivalent Martingale Measures and Risk-Neutral Pricing
Grossman and Stiglitz (1980), "On the Impossibility of Informationally Efficient Markets", American Economic Review
Speculation, Common Knowledge, and No-Trade Theorems
Tirole (1982), "On the Possibility of Speculation under Rational Expectations", Econometrica