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

Editorial Positions
Associate Editor, Mathematics and Financial Economics
Associate Editor, Finance and Stochastics, 2000-2007

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

Articles
Skiadas, Constantinos. 2013. Smooth Ambiguity Aversion Toward Small Risks and Continuous-Time Recursive Utility. Journal of Political Economy. 121: 775--792.
Skiadas, Constantinos. 2013. Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty. Mathematics and Financial Economics. 7(4): 431-456.
Skiadas, Constantinos. 2013. Scale-Invariant Uncertainty Averse Preferences and Source-Dependent Constant Relative Risk Aversion. Theoretical Economics. 8: 59--93.
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.
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.
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.
Skiadas, Constantinos. 2003. Robust Control and Recursive Utility. Finance and Stochastics. 7(4): 475-489.
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.
Morris, Stephen and Constantinos Skiadas. 2000. Rationalizable Trade. Games and Economic Behavior. 31(2): 311-323.
Schroder, Mark and Constantinos Skiadas. 1999. Optimal Consumption and Portfolio Selection with Stochastic Differential Utility. Journal of Economic Theory. 89(1): 68-126.
DeMarzo, Peter and Constantinos Skiadas. 1999. On the Uniqueness of Fully Informative Rational Expectations Equilibria. Economic Theory. 13(1): 1-24.
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.
Skiadas, Constantinos. 1998. Recursive Utility and Preferences for Information. Economic Theory. 12(2): 293-312.
Skiadas, Constantinos. 1997. Subjective Probability under Additive Aggregation of Conditional Preferences. Journal of Economic Theory. 76(2): 242-271.
Skiadas, Constantinos. 1997. Conditioning and Aggregation of Preferences. Econometrica. 65(2): 347-367.
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.
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.
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.
Duffie, Darrell and Constantinos Skiadas. 1994. Continuous-Time Security Pricing: A Utility Gradient Approach. Journal of Mathematical Economics. 23(2): 107-131.
Duffie, Darrell, Larry Epstein and Constantinos Skiadas. 1992. Appendix C: The Infinite-Horizon Case. Econometrica. 60(2): 387-392.
Skiadas, Constantinos, Darrell Duffie and L. Epstein. 1992. Infinite-Horizon Stochastic Differential Utility. Econometrica. 60: 387-392.
Working Papers
Skiadas, Constantinos. 2013. Dynamic Choice and Duality with Constant Source-Dependent Relative Risk Aversion.
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.
Books
Skiadas, Constantinos. 2009. Asset Pricing Theory. Princeton University Press.

 
Print Teaching
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
Dynamic Asset Pricing Theory (FINC-487-0)
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.