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Campbell (2003), "Lecture Notes on Diversification and the CAPM", unpublished notes.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 (1969), "Lifetime Portfolio Selection
Under Uncertainty: The Continuous-Time Case", Review of Economics and Statistics
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
Sutton, "Some Models That
Work", from the book Marshall's Tendancies: What Can Economists
Know
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