06.06.2013 Views

STOCHASTIC

STOCHASTIC

STOCHASTIC

SHOW MORE
SHOW LESS

You also want an ePaper? Increase the reach of your titles

YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.

HAKANSSON, N. H. (1970). "Friedman-Savage utility functions consistent with risk aversion."<br />

QJE 84, 472-487.<br />

HAKANSSON, N. H. (1971a). "Capital growth and the mean-variance approach to portfolio<br />

selection." JFQA 6, 517-557.<br />

HAKANSSON, N. H. (1971b). "Mean-variance analysis of average compound returns."<br />

Mimeograph. Univ. of California, Berkeley.<br />

HAKANSSON, N. H. (1971c). "Optimal entrepreneurial decisions in a completely stochastic<br />

environment." MS 17, 427-449.<br />

HAKANSSON, N. H. (1971d). "Multi-period mean-variance analysis: Toward a general<br />

theory of portfolio choice." JF 26, 857-884.<br />

HAKANSSON, N. H. (1974). "Convergence to isoelastic utility in multiperiod portfolio<br />

selection." JFE1, 201-224.<br />

HAKANSSON, N. H., and MILLER, B. L. (1972). "Compound-return mean-variance efficient<br />

portfolios never risk ruin." Working Paper No. 8. Res. Program in Finance, Graduate<br />

School of Bus. Admin., Univ. of California, Berkeley.<br />

HAMMER, P. L., and ZOUTENDIJK, G., eds. (1974). Mathematical programming: Theory<br />

and Practice. North-Holland Publ., Amsterdam.<br />

HAMMOND, J. S. (1973). "Simplifying the choice between uncertain prospects where preference<br />

is nonlinear." MS 20, 1047-1072.<br />

HANOCH, G., and LEVY, H. (1971). "Efficient portfolio selection with quadratic and cubic<br />

utility." JB 43, 181-189.<br />

HART, O. D., and JAFFEE, D. M. (1974). "On the application of portfolio theory to depository<br />

financial intermediaries." RES 42, 129-147.<br />

HAUSMAN, W. H., and SANCHEZ-BELL, A. (1973). "The stochastic cash balance problem with<br />

average compensating-balance requirements." Working Paper No. 663-73. Sloan School<br />

of Management, MIT, Cambridge, Massachusetts.<br />

HENDERSON, J. M., and QUANDT, R. E. (1958). Microeconomic Theory. McGraw-Hill,<br />

New York.<br />

HESTER, D. D. (1967). "Efficient portfolios with short sales and margin holdings." In Risk<br />

Aversion and Portfolio Choice (D. D. Hester and J. Tobin, eds.). Wiley, New York.<br />

HESTER, D. D., and TOBIN, J., (eds.) (1967). Risk Aversion and Portfolio Choice. Wiley,<br />

New York.<br />

HEYMAN, D. P. (1973). "A model for cash balance management." MS 19, 1407-1413.<br />

HICKS, J. R. (1962). "Liquidity." £772, 787-802.<br />

HILLIER, F. S. (1969). The Evaluation of Risky Interrelated Investments. North-Holland<br />

Publ., Amsterdam.<br />

HILLIER, F. S., and LIEBERMAN, G. J. (1967). Introduction to Operations Research. Holden-<br />

Day, San Francisco, California.<br />

HOGAN, W. W., and WARREN, J. M. (1972). "Computation of the efficient boundary in the<br />

E-S portfolio selection model." JFQA 7, 1881-1896.<br />

HOGAN, W. W. (1973). "Directional Derivatives for Extremal-Value Functions with Applications<br />

to the Completely Convex Case." OR 21, 188-209.<br />

HOLT, C. C, and SHELTON, J. P. (1961). "The implications of the capital gains tax for<br />

investment decisions." JF 16, 559-580.<br />

HOMONOFF, R. B., and MULLINS, D. W. JR., (1972). "Cash management: Applications and<br />

extensions of the Miller-Orr Control limit approach." Sloan School of Management,<br />

MIT, Cambridge, Massachusetts.<br />

HOWARD, R. A. (1960). Dynamic Programming and Markov Processes. Technol. Press of<br />

MIT Press, Cambridge, Massachusetts.<br />

HOWARD, R. A. (1972). Dynamic Probabilistic Systems, Vols. 1 and II. Wiley, New York.<br />

706<br />

BIBLIOGRAPHY

Hooray! Your file is uploaded and ready to be published.

Saved successfully!

Ooh no, something went wrong!