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pro vyhledávání: '"Kardaras, Constantinos"'
Fund models are statistical descriptions of markets where all asset returns are spanned by the returns of a lower-dimensional collection of funds, modulo orthogonal noise. Equivalently, they may be characterised as models where the global growth-opti
Externí odkaz:
http://arxiv.org/abs/2208.02573
Publikováno v:
In Journal of Economic Theory January 2024 215
Autor:
Kardaras, Constantinos, Ruf, Johannes
We analyse the structure of local martingale deflators projected on smaller filtrations. In a general continuous-path setting, we show that the local martingale part in the multiplicative Doob-Meyer decomposition of projected local martingale deflato
Externí odkaz:
http://arxiv.org/abs/1912.04652
Autor:
Kardaras, Constantinos
Stochastic integrals are defined with respect to a collection $P = (P_i; \, i \in I)$ of continuous semimartingales, imposing no assumptions on the index set $I$ and the subspace of $\mathbb{R}^I$ where $P$ takes values. The integrals are constructed
Externí odkaz:
http://arxiv.org/abs/1908.03946
Autor:
Kardaras, Constantinos, Ruf, Johannes
Let $X$ and $Y$ denote two independent squared Bessel processes of dimension $m$ and $n-m$, respectively, with $n\geq 2$ and $m \in [0, n)$, making $X+Y$ a squared Bessel process of dimension $n$. For appropriately chosen function $s$, the process $s
Externí odkaz:
http://arxiv.org/abs/1805.01404
We consider a financial market in which traders potentially face restrictions in trading some of the available securities. Traders are heterogeneous with respect to their beliefs and risk profiles, and the market is assumed thin: traders strategicall
Externí odkaz:
http://arxiv.org/abs/1802.09954
We consider the problem of robustly maximizing the growth rate of investor wealth in the presence of model uncertainty. Possible models are all those under which the assets' region $E$ and instantaneous covariation $c$ are known, and where additional
Externí odkaz:
http://arxiv.org/abs/1801.06425
We consider thin incomplete financial markets, where traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the demand schedules they submit, thereby impacting prices and allocations. We argue that tra
Externí odkaz:
http://arxiv.org/abs/1707.05096
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We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete market model among a group of agents whose preference is characterized by cash invariant time-consistent monetary utilities. An assumption of "smallnes
Externí odkaz:
http://arxiv.org/abs/1505.07224