Costis
Skiadas
Research
Teaching

Working Papers
and Publications
“Dynamic Choice with Constant SourceDependent
Relative Risk Aversion”
“Smooth
Ambiguity Aversion Toward Small Risks and ContinuousTime Recursive Utility”
Journal of Political Economy,
August 2013. You can experiment with the code that generates
the examples of Section 2 by copying and pasting this F#
script into this web page (no installation
needed).
Equivalent Scala
program. These are programs relying on mutable state; here are
purely functional versions in Scala and Haskell. (To run efficiently, compile the Haskell version using
“ghc make –O2 funcRec.hs”.)
“ScaleInvariant Asset Pricing and
Consumption/Portfolio Choice with General Attitudes toward Risk and
Uncertainty,” Mathematics and Financial Economics,
September 2013.
“ScaleInvariant Uncertainty Averse
Preferences and SourceDependent Constant Relative Risk Aversion,” Theoretical
Economics, January 2013
Asset Pricing Theory, Princeton Univ. Press, 2009.
"Dynamic Portfolio Choice and Risk
Aversion," chapter in Financial Engineering, edited by J. R.
Birge and V. Linetsky, Vol. 15,
Elsevier, 2008.
“Optimality and
State Pricing in Constrained Financial Markets with Recursive Utility under
Continuous and Discontinuous Information," (with M. Schroder),
Mathematical
Finance, April 2008, 18, 199238 (lead article).
"Lifetime ConsumptionPortfolio Choice under
Trading Constraints, Recursive Preferences and Nontradeable Income''
(with M. Schroder),
Stochastic
Processes and their Applications, January 2005, 115, 130 (lead article).
"Optimal Lifetime ConsumptionPortfolio Strategies
under Trading Constraints and Generalized Recursive Preferences'' (with M. Schroder),
Stochastic
Processes and their Applications, December 2003, 108, 155202 (lead article).
"Robust Control and Recursive Utility,''
Finance and
Stochastics, October 2003, 7, 475489.
"An Isomorphism between Asset Pricing Models with and
without Linear Habit Formation,'' (with M. Schroder),
The Review of Financial Studies,
Fall 2002, 15, 11891221. Recipient of Barclays Global
Investors/Michael Brennan runnerup award for the best paper published in
RFS, 2002
"Rationalizable
Trade'' (with Stephen
Morris), Games and Economic Behavior,
May 2000, 31, 311323
"Optimal Consumption and Portfolio
Selection with Stochastic Differential Utility'' (with M. Schroder),
Journal of Economic Theory,
November 1999, 89, 68126. [Working Paper
with some additional results]
"On the Uniqueness of Fully Informative
Rational Expectations Equilibria,'' (with P. DeMarzo), Economic Theory,
January 1999, 13, 124.
"Aggregation, Determinacy, and Informational
Efficiency for a Class of Economies with Asymmetric Information,'' (with Peter DeMarzo), Journal of Economic Theory,
May 1998, 80, 123152.
"Recursive Utility and Preferences for
Information,'' Economic Theory,
September 1998, 12, 293312.
"Subjective Probability under Additive
Aggregation of Conditional Preferences,'' Journal of
Economic Theory, October 1997, 76, 242271.
"Conditioning and Aggregation of Preferences,''
Econometrica,
March 1997, 65, 347367.
"A Term Structure Model with Preferences for the
Timing of Resolution of Uncertainty,'' (with D. Duffie and M. Schroder),
Economic
Theory, January 1997, 9, 322.
"Recursive Valuation of Defaultable Claims and
the Timing of Resolution of Uncertainty,'' (with D. Duffie and M. Schroder),
Annals of Applied Probability,
November 1996, 6, 10751090.
"ContinuousTime Security Pricing: A Utility
Gradient Approach,'' (with D.
Duffie), Journal
of Mathematical Economics, March 1994, 23, 107132.
"Efficient and Equilibrium Allocations with
Stochastic Differential Utility,'' (with D. Duffie and P.Y. Geoffard), Journal
of Mathematical Economics, March 1994, 23, 133146.
"InfiniteHorizon Stochastic Differential Utility,"
(with Darrell Duffie and Larry Epstein),
appendix to: D. Duffie and L. Epstein, ``Stochastic Differential Utility'', Econometrica,
March 1992, 60, 387392.
