Details about Lars Tyge Nielsen

This author is deceased (2024-04-22).

Access statistics for papers by Lars Tyge Nielsen.

Last updated 2024-05-18. Update your information in the RePEc Author Service.

Short-id: pni31

Working Papers

2023

1. A Counterexample in Ito Integration Theory
   Papers, arXiv.org

2019

2. Instantaneous Arbitrage and the CAPM
   Papers, arXiv.org

2018

3. Characterization of the Ito Integral
   Papers, arXiv.org

2003

4. Monotone Risk Aversion
   Discussion Papers, University of Copenhagen. Department of Economics View citations (1)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1997)
   See also Journal Article Monotone risk aversion, Economic Theory, Springer (2005) View citations (5) (2005)
   Chapter Monotone Risk Aversion, Studies in Economic Theory, Springer (2006) (2006)

1998

5. Performance Measures for Dynamic Portfolio Management
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

1997

6. Parametric Characterizations of Risk Aversion and Prudence
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
   See also Journal Article Parametric characterizations of risk aversion and prudence, Economic Theory, Springer (2000) View citations (48) (2000)
7. Portfolio Selection and Asset Pricing with Dynamically Incomplete Markets and Time-varying First and Second Moments
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Working Papers, Columbia - Graduate School of Business (1996)

1990

8. Common Knowledge of Price and Expected Cost in an Oligopolistic Market
   Discussion Papers, University of Copenhagen. Department of Economics
9. Common Knowledge of a Multivariate Aggregate Statistic
   CEPR Financial Markets Paper, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX. View citations (1)
   See also Journal Article Common Knowledge of a Multivariate Aggregate Statistic, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1995) View citations (6) (1995)

1988

10. Aggregation of Expectations, Common Information, and Revealing Rational Expectations Equilibrium
    Discussion Papers, University of Copenhagen. Department of Economics

Journal Articles

2007

1. Dividends in the theory of derivative securities pricing
   Economic Theory, 2007, 31, (3), 447-471 View citations (6)

2006

2. The instantaneous capital market line
   Economic Theory, 2006, 28, (3), 651-664 View citations (13)

2005

3. Monotone risk aversion
   Economic Theory, 2005, 25, (1), 203-215 View citations (5)
   See also Working Paper Monotone Risk Aversion, Discussion Papers (2003) View citations (1) (2003)
   Chapter Monotone Risk Aversion, Studies in Economic Theory, 2006, 317-329 (2006) (2006)

2004

4. Sharpe Ratios and Alphas in Continuous Time
   Journal of Financial and Quantitative Analysis, 2004, 39, (1), 103-114 View citations (13)

2000

5. Parametric characterizations of risk aversion and prudence
   Economic Theory, 2000, 15, (2), 469-476 View citations (48)
   See also Working Paper Parametric Characterizations of Risk Aversion and Prudence, CEPR Discussion Papers (1997) View citations (11) (1997)

1999

6. Differentiable von Neumann-Morgenstern utility
   Economic Theory, 1999, 14, (2), 285-296 View citations (3)

1996

7. Common knowledge: The case of linear regression
   Journal of Mathematical Economics, 1996, 26, (3), 285-304 View citations (2)

1995

8. Common Knowledge of a Multivariate Aggregate Statistic
   International Economic Review, 1995, 36, (1), 207-16 View citations (6)
   See also Working Paper Common Knowledge of a Multivariate Aggregate Statistic, CEPR Financial Markets Paper (1990) View citations (1) (1990)

1994

9. Pareto optima in incomplete financial markets
   Journal of Mathematical Economics, 1994, 23, (1), 87-100 View citations (1)

1993

10. Robustness of the Market Model
    Economic Theory, 1993, 3, (2), 365-69
11. The expected utility of portfolios of assets
    Journal of Mathematical Economics, 1993, 22, (5), 439-461 View citations (5)

1992

12. Positive Prices in CAPM
    Journal of Finance, 1992, 47, (2), 791-808 View citations (7)
13. The utility of infinite menus
    Economics Letters, 1992, 39, (1), 43-47 View citations (1)

1990

14. Common Knowledge of an Aggregate of Expectations
    Econometrica, 1990, 58, (5), 1235-39 View citations (22)
15. Equilibrium in CAPM Without a Riskless Asset
    The Review of Economic Studies, 1990, 57, (2), 315-324 View citations (22)
16. Existence of equilibrium in CAPM
    Journal of Economic Theory, 1990, 52, (1), 223-231 View citations (33)

1989

17. Asset Market Equilibrium with Short-Selling
    The Review of Economic Studies, 1989, 56, (3), 467-473 View citations (98)

1988

18. Comparative risk aversion
    Economics Letters, 1988, 27, (4), 321-325 View citations (1)
19. Uniqueness of Equilibrium in the Classical Capital Asset Pricing Model
    Journal of Financial and Quantitative Analysis, 1988, 23, (3), 329-336 View citations (15)

1987

20. Corrigenda
    Mathematical Social Sciences, 1987, 14, (2), 193-194
21. Portfolio Selection in the Mean-Variance Model: A Note
    Journal of Finance, 1987, 42, (5), 1371-76 View citations (14)
22. Positively Weighted Frontier Portfolios: A Note
    Journal of Finance, 1987, 42, (2), 471

1984

23. Common knowledge, communication, and convergence of beliefs
    Mathematical Social Sciences, 1984, 8, (1), 1-14 View citations (27)
24. Risk sensitivity in bargaining with more than two participants
    Journal of Economic Theory, 1984, 32, (2), 371-376 View citations (2)
25. Unbounded expected utility and continuity
    Mathematical Social Sciences, 1984, 8, (3), 201-216 View citations (5)

1983

26. Ordinal Interpersonal Comparisons in Bargaining
    Econometrica, 1983, 51, (1), 219-21 View citations (3)
27. Pareto optima, non-convexities and regulated market equilibria
    Journal of Mathematical Economics, 1983, 11, (1), 57-63

Books

1999

1. Pricing and Hedging of Derivative Securities
   OUP Catalogue, Oxford University Press View citations (30)

Chapters

2006

1. Monotone Risk Aversion
   Springer
   See also Journal Article Monotone risk aversion, Springer (2005) View citations (5) (2005)
   Working Paper Monotone Risk Aversion, University of Copenhagen. Department of Economics (2003) View citations (1) (2003)