Items where Author is "Kardaras, Constantinos"
Number of items: 46.
Article
Ergodic robust maximization of asymptotic growth. (2021)
Kardaras, Constantinos and Robertson, Scott
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Abstract, classic, and explicit turnpikes.
Guasoni, Paolo and Kardaras, Constantinos and Robertson, Scott and Xing, Hao
Arbitrage of the first kind and filtration enlargements in semimartingale financial models.
Acciaio, Beatrice and Fontana, Claudio and Kardaras, Constantinos
Balance, growth and diversity of financial markets.
Kardaras, Constantinos
Continuous-time perpetuities and time reversal of diffusions.
Kardaras, Constantinos and Robertson, Scott
Diversity and relative arbitrage in equity markets.
Fernholz, Robert and Karatzas, Ioannis and Kardaras, Constantinos
Effective risk aversion in thin risk-sharing markets.
Anthropelos, Michail and Kardaras, Constantinos and Vichos, Georgios
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Efficient estimation of one-dimensional diffusion first passage time densities via Monte Carlo simulation.
Ichiba, Tomoyuki and Kardaras, Constantinos
Equilibrium in risk-sharing games.
Anthropelos, Michail and Kardaras, Constantinos
Filtration shrinkage, the structure of deflators, and failure of market completeness.
Kardaras, Constantinos and Ruf, Johannes
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Forward-convex convergence in probability of sequences of nonnegative random variables.
Kardaras, Constantinos and Žitković, Gordan
Generalized supermartingale deflators under limited information.
Kardaras, Constantinos
Market viability via absence of arbitrage of the first kind.
Kardaras, Constantinos
Maximality and numéraires in convex sets of nonnegative random variables.
Kardaras, Constantinos
Maximum penalized quasi-likelihood estimation of the diffusion function.
Hamrick, Jeff and Huang, Yifei and Kardaras, Constantinos and Taqqu, Murad S.
Minimizing the expected market time to reach a certain wealth level.
Kardaras, Constantinos and Platen, Eckhard
Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading.
Kardaras, Constantinos and Platen, Eckhard
No arbitrage of the first kind and local martingale numéraires.
Kabanov, Yuri and Kardaras, Constantinos and Song, Shiqi
No-free-lunch equivalences for exponential Lévy models under convex constraints on investment.
Kardaras, Constantinos
Numéraire-invariant preferences in financial modeling.
Kardaras, Constantinos
On the Dybvig-Ingersoll-Ross theorem.
Kardaras, Constantinos and Platen, Eckhard
On the characterisation of honest times that avoid all stopping times.
Kardaras, Constantinos
On the closure in the Emery topology of semimartingale wealth-process sets.
Kardaras, Constantinos
On the semimartingale property of discounted asset-price processes.
Kardaras, Constantinos and Platen, Eckhard
On the stochastic behaviour of optional processes up to random times.
Kardaras, Constantinos
Optional decomposition for continuous semimartingales under arbitrary filtrations.
Karatzas, Ioannis and Kardaras, Constantinos
Price impact under heterogeneous beliefs and restricted participation.
Anthropelos, Michail and Kardaras, Constantinos
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Projections of scaled bessel processes.
Kardaras, Constantinos and Ruf, Johannes
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Robust fundamental theorem for continuous processes.
Biagini, Sara and Bouchard, Bruno and Kardaras, Constantinos and Nutz, Marcel
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Robust maximization of asymptotic growth.
Kardaras, Constantinos and Robertson, Scott
Stability of the utility maximization problem with random endowment in incomplete markets.
Kardaras, Constantinos and Žitković, Gordan
Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to mathematical finance.
Kardaras, Constantinos
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Strict local martingale deflators and valuing American call-type options.
Bayraktar, Erhan and Kardaras, Constantinos and Xing, Hao
Strict local martingales and bubbles.
Kardaras, Constantinos and Kreher, Dörte and Nikeghbali, Ashkan
Uniform integrability and local convexity in L0.
Kardaras, Constantinos
Valuation and parities for exchange options.
Kardaras, Constantinos
Valuation equations for stochastic volatility models.
Bayraktar, Erhan and Kardaras, Constantinos and Xing, Hao
The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints.
Kardaras, Constantinos
The numéraire portfolio in semimartingale financial models.
Karatzas, Ioannis and Kardaras, Constantinos
The numéraire property and long-term growth optimality for drawdown-constrained investments.
Kardaras, Constantinos and Obłój, Jan and Platen, Eckhard
A structural characterization of numéraires of convex sets of nonnegative random variables.
Kardaras, Constantinos