Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\kellogg.GIF

 

Costis Skiadas
Research
Teaching

Working Papers and Publications

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif “Dynamic Choice with Constant Source-Dependent Relative Risk Aversion”

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif Smooth Ambiguity Aversion Toward Small Risks and Continuous-Time Recursive UtilityJournal 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”.)

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif Scale-Invariant Asset Pricing and Consumption/Portfolio Choice with General Attitudes toward Risk and Uncertainty,” Mathematics and Financial Economics, September 2013.

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif Scale-Invariant Uncertainty Averse Preferences and Source-Dependent Constant Relative Risk Aversion,” Theoretical Economics, January 2013

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif  Asset Pricing Theory, Princeton Univ. Press, 2009.

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif "Dynamic Portfolio Choice and Risk Aversion," chapter in Financial Engineering, edited by J. R. Birge and V. Linetsky, Vol. 15,  Elsevier, 2008.

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif 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).

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif "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).

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif "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).

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif "Robust Control and Recursive Utility,'' Finance and Stochastics, October 2003, 7, 475-489.

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif "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

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif "Rationalizable Trade'' (with Stephen Morris), Games and Economic Behavior, May 2000, 31, 311-323

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif "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]

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif "On the Uniqueness of Fully Informative Rational Expectations Equilibria,'' (with P. DeMarzo), Economic Theory, January 1999, 13, 1-24.

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif "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.

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif "Recursive Utility and Preferences for Information,'' Economic Theory, September 1998, 12, 293-312.

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif "Subjective Probability under Additive Aggregation of Conditional Preferences,'' Journal of Economic Theory, October 1997, 76, 242-271.

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif "Conditioning and Aggregation of Preferences,'' Econometrica, March 1997, 65, 347-367.

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif "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.

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif "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.

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif "Continuous-Time Security Pricing: A Utility Gradient Approach,'' (with D. Duffie), Journal of Mathematical Economics, March 1994, 23, 107-132.

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif "Efficient and Equilibrium Allocations with Stochastic Differential Utility,'' (with D. Duffie and P.-Y. Geoffard), Journal of Mathematical Economics, March 1994, 23, 133-146.

 

Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: Description: C:\Users\Costis\Documents\PROFESS\WEB\images\Image2.gif "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.