45 citations · 148 across the 47 of their papers we have counts for
50 papers
Log-optimality with small liability stream
Michail Anthropelos, Constantinos Kardaras, Constantinos Stefanakis
In an incomplete financial market with general continuous semimartingale dynamics; we model an investor with log-utility preferences who, in addition to an initial capital, receive…
A dynamic competitive equilibrium model of irreversible capacity investment with stochastic demand and heterogeneous producers
Constantinos Kardaras, Alexandros Pavlis, Mihail Zervos
We formulate a continuous-time competitive equilibrium model of irreversible capacity investment in which a continuum of heterogeneous producers supplies a single non-durable good…
Estimation of growth in fund models
Constantinos Kardaras, Hyeng Keun Koo, Johannes Ruf
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. Equivale…
Filtration shrinkage, the structure of deflators, and failure of market completeness
Constantinos Kardaras, Johannes Ruf
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 multipl…
Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to Mathematical Finance
Constantinos Kardaras
Stochastic integrals are defined with respect to a collection of continuous semimartingales, imposing no assumptions on the index set and the subspace o…
Projections of scaled Bessel processes
Constantinos Kardaras, Johannes Ruf
Let and denote two independent squared Bessel processes of dimension and , respectively, with and , making a squared Bessel process o…