According to our database1, Ioannis Karatzas authored at least 14 papers between 1986 and 2017.
Legend:Book In proceedings Article PhD thesis Other
Trading strategies generated by Lyapunov functions.
Finance and Stochastics, 2017
Wiener Chaos Solutions for Linear Backward Stochastic Evolution Equations.
SIAM J. Math. Analysis, 2011
Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs.
SIAM J. Control and Optimization, 2009
The numéraire portfolio in semimartingale financial models.
Finance and Stochastics, 2007
Adaptive Poisson disorder problem
Diversity and relative arbitrage in equity markets.
Finance and Stochastics, 2005
Non-addictive habits: optimal consumption-portfolio policies.
J. Economic Theory, 2003
Utility Maximization with Discretionary Stopping.
SIAM J. Control and Optimization, 2000
On dynamic measures of risk.
Finance and Stochastics, 1999
Hedging American contingent claims with constrained portfolios.
Finance and Stochastics, 1998
Irreversible investment and industry equilibrium.
Finance and Stochastics, 1996
Construction of Stationary Markov Equilibria in a Strategic Market Game.
Math. Oper. Res., 1994
Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model.
Math. Oper. Res., 1990
Explicit Solution of a General Consumption/Investment Problem.
Math. Oper. Res., 1986