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Stability of utility-maximization in incomplete markets

Larsen, Kasper; Zitkovic, Gordan - In: Stochastic Processes and their Applications 117 (2007) 11, pp. 1642-1662

The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial markets, we investigate whether small perturbations of...

Persistent link: https://www.econbiz.de/10008875845

Balance, growth and diversity of financial markets

Kardaras, Constantinos - In: Annals of finance 4 (2008) 3, pp. 369-397

Persistent link: https://www.econbiz.de/10003714675

Viability of markets with an infinite number of assets

Kardaras, Constantinos - 2008

Persistent link: https://www.econbiz.de/10003857180

Market viability via absence of arbitrage of the first kind

Kardaras, Constantinos - In: Finance and stochastics 16 (2012) 4, pp. 651-667

Persistent link: https://www.econbiz.de/10009623539

Generalized supermartingale deflators under limited information

Kardaras, Constantinos - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 186-197

Persistent link: https://www.econbiz.de/10009712552

Finitely addititve probabilities and the fundamental theorem of asset pricing

Kardaras, Constantinos - In: Contemporary quantitative finance : essays in honour of …, (pp. 19-34). 2010

Persistent link: https://www.econbiz.de/10008749321

No-free-lunch equivalences for exponential Lévy models under convex constraints on investment

Kardaras, Constantinos - In: Mathematical finance : an international journal of … 19 (2009) 2, pp. 161-187

Persistent link: https://www.econbiz.de/10003827568

Effective risk aversion in thin risk‐sharing markets

Anthropelos, Michail; Kardaras, Constantinos; Vichos, … - In: Mathematical Finance 30 (2020) 4, pp. 1565-1590

Persistent link: https://www.econbiz.de/10012283195

The numéraire portfolio in semimartingale financial models

Karatzas, Ioannis; Kardaras, Constantinos - In: Finance and stochastics 11 (2007) 4, pp. 447-493

Persistent link: https://www.econbiz.de/10003645513

On financial markets where only buy-and-hold trading is possible

Kardaras, Constantinos; Platen, Eckhard - 2008

Persistent link: https://www.econbiz.de/10003856783

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