Costis Skiadas Research Teaching

Working Papers and Publications “Dynamic Choice and Duality with Constant Source-Dependent Relative Risk Aversion” “Smooth Ambiguity Aversion Toward Small Risks and Continuous-Time Recursive Utility” Journal of Political Economy, forthcoming. 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 and C# program (which can also output the entire tree to a spreadsheet). These are imperative-style programs; here are purely functional versions in Scala and Haskell. “Scale-Invariant Asset Pricing and Consumption/Portfolio Choice with General Attitudes toward Risk and Uncertainty,” Mathematics and Financial Economics, forthcoming. “Scale-Invariant Uncertainty Averse Preferences and Source-Dependent 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, 199-238 (lead article).  "Lifetime Consumption-Portfolio Choice under Trading Constraints, Recursive Preferences and Nontradeable Income'' (with M. Schroder), Stochastic Processes and their Applications, January 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, December 2003, 108, 155-202 (lead article).  "Robust Control and Recursive Utility,'' Finance and Stochastics, October 2003, 7, 475-489.  "An Isomorphism between Asset Pricing Models with and without Linear Habit Formation,'' (with M. Schroder), The Review of Financial Studies, Fall 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, May 2000, 31, 311-323  "Optimal Consumption and Portfolio Selection with Stochastic Differential Utility'' (with M. Schroder), Journal of Economic Theory, November 1999, 89, 68-126. [Working Paper with some additional results]  "On the Uniqueness of Fully Informative Rational Expectations Equilibria,'' (with P. DeMarzo), Economic Theory, January 1999, 13, 1-24.  "Aggregation, Determinacy, and Informational Efficiency for a Class of Economies with Asymmetric Information,'' (with Peter DeMarzo), Journal of Economic Theory, May 1998, 80, 123-152.  "Recursive Utility and Preferences for Information,'' Economic Theory, September 1998, 12, 293-312.  "Subjective Probability under Additive Aggregation of Conditional Preferences,'' Journal of Economic Theory, October 1997, 76, 242-271.  "Conditioning and Aggregation of Preferences,'' Econometrica, March 1997, 65, 347-367.  "A Term Structure Model with Preferences for the Timing of Resolution of Uncertainty,'' (with D. Duffie and M. Schroder), Economic Theory, January 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, November 1996, 6, 1075-1090.  "Continuous-Time Security Pricing: A Utility Gradient Approach,'' (with D. Duffie), Journal of Mathematical Economics, March 1994, 23, 107-132.  "Efficient and Equilibrium Allocations with Stochastic Differential Utility,'' (with D. Duffie and P.-Y. Geoffard), Journal of Mathematical Economics, March 1994, 23, 133-146.  "Infinite-Horizon Stochastic Differential Utility," (with Darrell Duffie and Larry Epstein), appendix to: D. Duffie and L. Epstein, ``Stochastic Differential Utility'', Econometrica, March 1992, 60, 387-392.