64 citations · 64 across the 4 of their papers we have counts for
4 papers
Diversity and relative arbitrage in equity markets
Robert Fernholz, Ioannis Karatzas, Constantinos Kardaras
A financial market is called "diverse" if no single stock is ever allowed to dominate the entire market in terms of relative capitalization. In the context of the standard Ito-proc…
The numeraire portfolio in semimartingale financial models
Ioannis Karatzas, Constantinos Kardaras
We study the existence of the numeraire portfolio under predictable convex constraints in a general semimartingale model of a financial market. The numeraire portfolio generates a…
Optimal consumption from investment and random endowment in incomplete semimartingale markets
Ioannis Karatzas, Gordan Zitkovic
We consider the problem of maximizing expected utility from consumption in a constrained incomplete semimartingale market with a random endowment process, and establish a general e…
Adaptive Poisson disorder problem
Erhan Bayraktar, Savas Dayanik, Ioannis Karatzas
We study the quickest detection problem of a sudden change in the arrival rate of a Poisson process from a known value to an unknown and unobservable value at an unknown and unobse…