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Lars Tyge Nielsen

(deceased)

Personal Details

This person is deceased (Date: 22 Apr 2024)
First Name:Lars
Middle Name:Tyge
Last Name:Nielsen
Suffix:
RePEc Short-ID:pni31
http://www.ltnielsen.com
Terminal Degree:1985 Department of Economics; Harvard University (from RePEc Genealogy)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Lars Tyge Nielsen, 2023. "A Counterexample in Ito Integration Theory," Papers 2305.10695, arXiv.org.
  2. Lars Tyge Nielsen, 2019. "Instantaneous Arbitrage and the CAPM," Papers 1901.05113, arXiv.org.
  3. Lars Tyge Nielsen, 2018. "Characterization of the Ito Integral," Papers 1812.09637, arXiv.org.
  4. Nielsen, Lars Tyge & Vassalou, Maria, 1998. "Performance Measures for Dynamic Portfolio Management," CEPR Discussion Papers 1885, C.E.P.R. Discussion Papers.
  5. Nielsen, Lars Tyge, 1997. "Monotone Risk Aversion," CEPR Discussion Papers 1651, C.E.P.R. Discussion Papers.
  6. Lajeri, Fatma & Nielsen, Lars Tyge, 1997. "Parametric Characterizations of Risk Aversion and Prudence," CEPR Discussion Papers 1650, C.E.P.R. Discussion Papers.
  7. Nielsen, Lars Tyge & Vassalou, Maria, 1997. "Portfolio Selection and Asset Pricing with Dynamically Incomplete Markets and Time-varying First and Second Moments," CEPR Discussion Papers 1652, C.E.P.R. Discussion Papers.
  8. Lars Tyge Nielsen, 1990. "Common Knowledge of a Multivariate Aggregate Statistic," CEPR Financial Markets Paper 0003, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX..
  9. Lars Tyge Nielsen, 1990. "Common Knowledge of Price and Expected Cost in an Oligopolistic Market," Discussion Papers 90-19, University of Copenhagen. Department of Economics.
  10. Lars Tyge Nielsen, 1988. "Aggregation of Expectations, Common Information, and Revealing Rational Expectations Equilibrium," Discussion Papers 88-09, University of Copenhagen. Department of Economics.

Articles

  1. Lars Nielsen, 2007. "Dividends in the theory of derivative securities pricing," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(3), pages 447-471, June.
  2. Lars Nielsen & Maria Vassalou, 2006. "The instantaneous capital market line," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 28(3), pages 651-664, August.
  3. Lars Nielsen, 2005. "Monotone risk aversion," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 25(1), pages 203-215, January.
  4. Nielsen, Lars Tyge & Vassalou, Maria, 2004. "Sharpe Ratios and Alphas in Continuous Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(1), pages 103-114, March.
  5. Lars Tyge Nielsen & Fatma Lajeri, 2000. "Parametric characterizations of risk aversion and prudence," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 15(2), pages 469-476.
  6. Lars Tyge Nielsen, 1999. "Differentiable von Neumann-Morgenstern utility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 14(2), pages 285-296.
  7. Nielsen, Lars Tyge, 1996. "Common knowledge: The case of linear regression," Journal of Mathematical Economics, Elsevier, vol. 26(3), pages 285-304.
  8. Nielsen, Lars Tyge, 1995. "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, vol. 36(1), pages 207-216, February.
  9. Nielsen, Lars Tyge, 1994. "Pareto optima in incomplete financial markets," Journal of Mathematical Economics, Elsevier, vol. 23(1), pages 87-100, January.
  10. Tyge Nielsen, Lars, 1993. "The expected utility of portfolios of assets," Journal of Mathematical Economics, Elsevier, vol. 22(5), pages 439-461.
  11. Nielsen, Lars Tyge, 1993. "Robustness of the Market Model," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 3(2), pages 365-369, April.
  12. Nielsen, Lars Tyge, 1992. "The utility of infinite menus," Economics Letters, Elsevier, vol. 39(1), pages 43-47, May.
  13. Nielsen, Lars Tyge, 1992. "Positive Prices in CAPM," Journal of Finance, American Finance Association, vol. 47(2), pages 791-808, June.
  14. Lars Tyge Nielsen, 1990. "Equilibrium in CAPM Without a Riskless Asset," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 57(2), pages 315-324.
  15. Nielsen, Lars Tyge, et al, 1990. "Common Knowledge of an Aggregate of Expectations," Econometrica, Econometric Society, vol. 58(5), pages 1235-1239, September.
  16. Nielsen, Lars Tyge, 1990. "Existence of equilibrium in CAPM," Journal of Economic Theory, Elsevier, vol. 52(1), pages 223-231, October.
  17. Lars Tyge Nielsen, 1989. "Asset Market Equilibrium with Short-Selling," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 56(3), pages 467-473.
  18. Nielsen, Lars Tyge, 1988. "Uniqueness of Equilibrium in the Classical Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 329-336, September.
  19. Nielsen, Lars Tyge, 1988. "Comparative risk aversion," Economics Letters, Elsevier, vol. 27(4), pages 321-325.
  20. Nielsen, Lars Tyge, 1987. "Portfolio Selection in the Mean-Variance Model: A Note," Journal of Finance, American Finance Association, vol. 42(5), pages 1371-1376, December.
  21. Nielsen, Lars Tyge, 1987. "Corrigenda," Mathematical Social Sciences, Elsevier, vol. 14(2), pages 193-194, October.
  22. Nielsen, Lars Tyge, 1987. "Positively Weighted Frontier Portfolios: A Note," Journal of Finance, American Finance Association, vol. 42(2), pages 471-471, June.
  23. Nielsen, Lars Tyge, 1984. "Common knowledge, communication, and convergence of beliefs," Mathematical Social Sciences, Elsevier, vol. 8(1), pages 1-14, August.
  24. Nielsen, Lars Tyge, 1984. "Risk sensitivity in bargaining with more than two participants," Journal of Economic Theory, Elsevier, vol. 32(2), pages 371-376, April.
  25. Nielsen, Lars Tyge, 1984. "Unbounded expected utility and continuity," Mathematical Social Sciences, Elsevier, vol. 8(3), pages 201-216, December.
  26. Neilsen, Lars Tyge, 1983. "Ordinal Interpersonal Comparisons in Bargaining," Econometrica, Econometric Society, vol. 51(1), pages 219-221, January.
  27. Nielsen, Lars Tyge, 1983. "Pareto optima, non-convexities and regulated market equilibria," Journal of Mathematical Economics, Elsevier, vol. 11(1), pages 57-63, January.
    RePEc:bla:scandj:v:87:y:1985:i:3:p:463-73 is not listed on IDEAS

Chapters

  1. Lars Tyge Nielsen, 2006. "Monotone Risk Aversion," Studies in Economic Theory, in: Christian Schultz & Karl Vind (ed.), Institutions, Equilibria and Efficiency, chapter 17, pages 317-329, Springer.

Books

  1. Nielsen, Lars Tyge, 1999. "Pricing and Hedging of Derivative Securities," OUP Catalogue, Oxford University Press, number 9780198776192.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  2. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FIN: Finance (1) 2003-07-04
  2. NEP-FMK: Financial Markets (1) 2019-02-04
  3. NEP-MFD: Microfinance (1) 2023-07-10
  4. NEP-MIC: Microeconomics (1) 2019-01-14
  5. NEP-RMG: Risk Management (1) 2003-07-04

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