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The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints
Constantinos Kardaras
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The nu…
No-Free-Lunch equivalences for exponential Levy models
Constantinos Kardaras
We provide equivalence of numerous no-free-lunch type conditions for financial markets where the asset prices are modeled as exponential Levy processes, under possible convex const…
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…
On the semimartingale property of discounted asset-price processes
Constantinos Kardaras, Eckhard Platen
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price proces…