## Costis Skiadas

### Research Publications

- “Dynamic Choice with Constant Source-Dependent Relative Risk Aversion,” Economic Theory, 2015, 3, 393-422.
- “Smooth Ambiguity Aversion Toward Small Risks and Continuous-Time Recursive Utility,” Journal of Political Economy, 2013, 4, 775-792. You can experiment with the code that generates the examples of Section 2 by copying and pasting this F# program into this web page. Equivalent programs in Python and Scala and purely functional versions in Haskell and Scala.
- “Scale-Invariant Asset Pricing and Consumption/Portfolio Choice with General Attitudes toward Risk and Uncertainty,” Mathematics and Financial Economics, 2013, 7, 431-456.
- “Scale-Invariant Uncertainty Averse Preferences and Source-Dependent Constant Relative Risk Aversion,” Theoretical Economics, 2013, 8, 59-93.
*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, 2008, 18, 199-238 (lead article).
- “Lifetime Consumption-Portfolio Choice under Trading Constraints, Recursive Preferences and Nontradeable Income,” (with M. Schroder) Stochastic Processes and their Applications, 2005, 115, 1-30 (lead article).
- “Optimal Lifetime Consumption-Portfolio Strategies under Trading Constraints and Generalized Recursive Preferences’‘ (with M. Schroder) Stochastic Processes and their Applications, 2003, 108, 155-202 (lead article).
- “Robust Control and Recursive Utility,” Finance and Stochastics , 2003, 7, 475-489.
- “An Isomorphism between Asset Pricing Models with and without Linear Habit Formation,’‘ (with M. Schroder) Review of Financial Studies, 2002, 15, 1189-1221. Recipient of Barclays Global Investors/Michael Brennan runner-up award for the best paper published in RFS, 2002.
- “Rationalizable Trade” (with Stephen Morris), Games and Economic Behavior, 2000, 31, 311-323.
- “Optimal Consumption and Portfolio Selection with Stochastic Differential Utility,” (with M. Schroder) Journal of Economic Theory, 1999, 89, 68-126. Working paper with additional results.
- “On the Uniqueness of Fully Informative Rational Expectations Equilibria,” (with P. DeMarzo) Economic Theory, 1999, 13, 1-24.
- “Aggregation, Determinacy, and Informational Efficiency for a Class of Economies with Asymmetric Information” (with P. DeMarzo) Journal of Economic Theory, 1998, 80, 123-152.
- “Recursive Utility and Preferences for Information,” Economic Theory, 1998, 12, 293-312.
- “Conditioning and Aggregation of Preferences,” Econometrica, 1997, 65, 347-367.
- “Subjective Probability under Additive Aggregation of Conditional Preferences,” , Journal of Economic Theory, 1997, 76, 242-271.
- “A Term Structure Model with Preferences for the Timing of Resolution of Uncertainty,” (with D. Duffie and M. Schroder) Economic Theory, 1997, 9, 3-22.
- “Recursive Valuation of Defaultable Claims and the Timing of Resolution of Uncertainty,”(with D. Duffie and M. Schroder) Annals of Applied Probability, 1996, 4, 1075-1090.
- “Continuous-Time Security Pricing: A Utility Gradient Approach,”(with D. Duffie) Journal of Mathematical Economics, 1994, 23, 107-131.
- “Efficient and Equilibrium Allocations with Stochastic Differential Utility,” (with D. Duffie and P.-Y. Geoffard), 1994, 23, 133-146.
- “Infinite-Horizon Stochastic Differential Utility,” App. to D. Duffie and L. Epstein, “Stochastic Differential Utility,” Econometrica, 1992, 60, 387-392.