Publications

PDE Solutions of Stochastic Differential Utility

Darrell Duffie, Pierre-Louis Lions

Journal of Mathematical Economics April1991 Vol. 21 Issue 6 Pages 577-606.

Mean-Variance Hedging in Continuous Time

Darrell Duffie, Henry R. Richardson

The Annals of Applied Probability February1991 Vol. 1 Issue 1 Pages 1-15.

The Arithmetic of Active Management

William F. Sharpe

The Financial Analysts' Journal January1991 Vol. 47 Issue 1 Pages 7-9.

Corporate Financial Hedging with Proprietary Information

Peter M. DeMarzo

Journal of Economic Theory 1991 Vol. 1991 Pages 261-286.

Joint Projects Without Commitment

Anat R. Admati, Motty Perry

Review of Economic Studies 1991 Vol. 58 Issue 2 Pages 259-276.

Sunshine Trading and Financial Market Equilibrium

Anat R. Admati, Paul Pfleiderer

Review of Financial Studies 1991 Vol. 4 Issue 3 Pages 443-481.

The Informational Role of Prices: A Review Essay

Anat R. Admati

Journal of Monetary Economics 1991 Vol. 28 Issue 2 Pages 347-361.

Optimal Hedging and Equilibrium in a Dynamic Futures Market

Darrell Duffie, Matthew O. Jackson

Journal of Economic Dynamics and Control February1990 Vol. 14 Issue 1 Pages 21-33.

Transactions Costs and Portfolio Choice in a Discrete-Continuous Time Setting

Darrell Duffie, Tong-sheng Sun

Journal of Economic Dynamics and Control February1990 Vol. 14 Issue 1 Pages 35-51.

Direct and Indirect Sale of Information

Anat R. Admati, Paul Pfleiderer

Econometrica 1990 Vol. 58 Issue 4 Pages 901-928.

Money in General Equilibrium Theory

Darrell Duffie

Handbook of Monetary Economics 1990 Vol. 1 Pages 81-100.

The Consumption-Based Capital Asset Pricing Model

Darrell Duffie, William Zame

Econometrica November1989 Vol. 57 Issue 6 Pages 1279.

Decentralized Investment Banking

Myron S. Scholes, Mark A. Wolfson

Journal of Financial Economics September1989 Vol. 24 Issue 1 Pages 7–35.

Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects

Anat R. Admati, Paul Pfleiderer

Review of Financial Studies 1989 Vol. 2 Pages 189–223.

Information in Financial Markets: The Rational Expectations Approach

Anat R. Admati

Frontiers of Modern Financial Theory: Volume 2 (Financial Markets and Incomplete Information) 1989 Pages 139–152.

Optimal Innovation of Futures Contracts

Darrell Duffie, Matthew O. Jackson

Review of Financial Studies 1989 Vol. 2 Issue 3 Pages 275-296.

An Extension of the Black-Sholes Model of Security Valuation

Darrell Duffie

Journal of Economic Theory October1988 Vol. 46 Issue 1 Pages 194-204.

Adjustable Rate Mortgages: Prepayment Behavior

Jonathan B. Berk, Lynn Bartholomew, Richard Roll

The Housing Finance Review 1988 Vol. 7 Pages 31-46.

Adjustable Rate Mortgages: Valuation

Jonathan B. Berk, Richard Roll

Journal of Real Estate Finance and Economics 1988 Vol. 1 Pages 163-184.

An Extension of the Modigliani-Miller Theorem to Stochastic Economies with Incomplete Markets and Fully Interdependent Securities

Peter M. DeMarzo

Journal of Economic Theory 1988 Vol. 45 Pages 353-369.