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Constantinos Skiadas
Constantinos Skiadas

FINANCE
Harold L. Stuart Professor of Finance

Print Overview

Costis Skiadas is the Harold L. Stuart Professor of Finance at the Kellogg School of Management, where he has served as Chair of the Finance Department (2007-10). He has made contributions on foundational issues of choice under uncertainty, asset-pricing theory, dynamic portfolio theory, and trade under asymmetric information. His work has appeared in economics, finance, and mathematics journals, and he is the author of the book Asset Pricing Theory.


Skiadas received his PhD in Operations Research from Stanford University.

 



Areas of Expertise
Asset Pricing (Equity Markets/Stock Market, Investments and Portfolio Choice)
Derivative Securities and Markets (Futures, Options, Commodities)
Equity Markets (Stock Market) (Includes: Asset Pricing, Investments and Portfolio Choice)
Financial Engineering
Information Economics
Investments and Portfolio Choice (Includes: Asset Pricing, Equity Markets/Stock Market)
Microeconomics
Risk Management
Print Vita
Education
PhD, 1992, Operations Research, Stanford University
MS, 1990, Operations Research, Stanford University
MS, 1987, Electrical Engineering, Stanford University
BSc, 1986, Electrical Engineering, Imperial College of Science and Technology, First Class Honors

Academic Positions
Harold L. Stuart Distinguished Professor of Finance, Kellogg School of Management, Northwestern University, 2004-present
Chairman of the Finance Department, Kellogg School of Management, Northwestern University, 2007-2010
Professor of Finance, Kellogg School of Management, Northwestern University, 2002-2004
Associate Professor of Finance, Kellogg School of Management, Northwestern University, 1998-2002
Assistant Professor of Finance, Kellogg School of Management, Northwestern University, 1992-1998

 
Print Research
Research Interests
Asset pricing theory, choice under uncertainty, mathematical economics

Articles
Skiadas, Constantinos. Forthcoming. Scale-Invariant Uncertainty-Averse Preferences and Source-Dependent Constant Relative Risk Aversion. Theoretical Economics.
AbstractLink
Schroder, Mark and Constantinos Skiadas. 2008. Optimality and State Pricing in Constrained Financial Markets with Recursive Utility under Continuous and Discontinuous Information. Mathematical Finance. 18(2): 199-238.
AbstractLink
Schroder, Mark and Constantinos Skiadas. 2005. Lifetime Consumption-Portfolio Choice under Trading Constraints, Recursive Preferences, and Nontradeable Income. Stochastic Processes and Their Applications. 115(1): 1-30.
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Schroder, Mark and Constantinos Skiadas. 2003. Optimal Lifetime Consumption-Portfolio Strategies under Trading Constraints and Generalized Recursive Preferences. Stochastic Processes and Their Applications. 108: 155-505.
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Skiadas, Constantinos. 2003. Robust Control and Recursive Utility. Finance and Stochastics. 7(4): 475-489.
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Schroder, Mark and Constantinos Skiadas. 2002. An Isomorphism between Asset Pricing Models with and without Linear Habit Formation. Review of Financial Studies. 15(4): 1189-1221.
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Morris, Stephen and Constantinos Skiadas. 2000. Rationalizable Trade. Games and Economic Behavior. 31(2): 311-323.
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DeMarzo, Peter and Constantinos Skiadas. 1999. On the Uniqueness of Fully Informative Rational Expectations Equilibria. Economic Theory. 13(1): 1-24.
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Schroder, Mark and Constantinos Skiadas. 1999. Optimal Consumption and Portfolio Selection with Stochastic Differential Utility. Journal of Economic Theory. 89(1): 68-126.
AbstractLink
DeMarzo, Peter and Constantinos Skiadas. 1998. Aggregation, Determinacy, and Informational Efficiency for a Class of Economies with Asymmetric Information. Journal of Economic Theory. 80(1): 123-152.
AbstractLink
Skiadas, Constantinos. 1998. Recursive Utility and Preferences for Information. Economic Theory. 12(2): 293-312.
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Skiadas, Constantinos. 1997. Conditioning and Aggregation of Preferences. Econometrica. 65(2): 347-367.
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Skiadas, Constantinos. 1997. Subjective Probability under Additive Aggregation of Conditional Preferences. Journal of Economic Theory. 76(2): 242-271.
AbstractLink
Duffie, Darrell, Mark Schroder and Constantinos Skiadas. 1996. A Term Structure Model with Preferences for the Timing of Resolution of Uncertainty. Economic Theory. 9(1): 3-22.
AbstractLink
Duffie, Darrell, Mark Schroder and Constantinos Skiadas. 1996. Recursive valuation of defaultable securities and the timing of resolution of uncertainty. Annals of Applied Probability. 6(4): 1075-1090.
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Duffie, Darrell and Constantinos Skiadas. 1994. Continuous-Time Security Pricing: A Utility Gradient Approach. Journal of Mathematical Economics. 23(2): 107-131.
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Duffie, Darrell, Pierre-Yves Geoffard and Constantinos Skiadas. 1994. Efficient and Equilibrium Allocations with Stochastic Differential Utility. Journal of Mathematical Economics. 23(2): 133-146.
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Duffie, Darrell, Larry Epstein and Constantinos Skiadas. 1992. Appendix C: The Infinite-Horizon Case. Econometrica. 60(2): 387-392.
AbstractLink
Working Papers
Skiadas, Constantinos. Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty.
AbstractLink
Skiadas, Constantinos. Smooth Ambiguity Aversion Toward Small Risks and Continuous-Time Recursive Utility.
AbstractLink
Skiadas, Constantinos and Sorin Maruster. 2004. Representative-Agent Pricing with Asymmetric Information.
Book Chapters
Skiadas, Constantinos. 2008. "Dynamic Portfolio Theory and Risk Aversion." In Handbooks in Operations Research and Management Science: Financial Engineering, edited by J. R. Birge and V. Linetsky, vol. 15, North-Holland.
AbstractLink
Books
Skiadas, Constantinos. 2009. Asset Pricing Theory. Princeton University Press.
AbstractLink

 
Print Teaching
Teaching Interests
Introductory finance, dynamic asset pricing theory
Full-Time / Part-Time MBA
Derivatives Markets I (FINC-465-0)

This course counts toward the following majors: Analytical Finance, Finance.

This course covers the use and pricing of forwards and futures, swaps and options. Specific topics include strategies for speculation and risk management, no-arbitrage pricing for forward contracts, the binomial and Black-Scholes option pricing models and applications of pricing models in other contexts.

Doctoral
Introduction to Financial Theory (FINC-485-0)

This course counts toward the following majors: Finance

This course is an introduction to asset pricing theory and portfolio choice. The first part of the course introduces arbitrage theory, including state prices, equivalent martingale measures, beta pricing and the associated mean-variance analysis. The second part deals with optimal consumption/portfolio choice of agents and competitive equilibrium in the context of general preferences. The third part considers more detailed preference structures, including the theories of fund separation and Gorman aggregation, and expected utility theory. Time permitting, the course concludes with an introduction to rational expectations models with asymmetric information. Although the course is self-contained, it is best appreciated by students with some knowledge of microeconomics. Proficiency in elementary linear algebra and probability theory is required, as is some knowledge of basic nonlinear optimization theory.

Dynamic Asset Pricing Theory (FINC-487-0)

This course counts toward the following majors: Finance

This course covers the basic arbitrage and equilibrium models of asset pricing in dynamic settings. Topics include the implications of no arbitrage for derivative security pricing and term-structure models, optimal portfolio selection, equilibrium models of asset pricing and the representative agent. The necessary mathematical tools are introduced, including the Ito calculus and stochastic control.