Ioannis Karatzas

Columbia University - Department of Statistics

Mail Code 4403

2990 Broadway, Room 618

New York, NY 10027

United States

SCHOLARLY PAPERS

10

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CITATIONS
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62

Scholarly Papers (10)

1.
Downloads 887 ( 20,129)
Citation 17

On Dynamic Measures of Risk

Number of pages: 28 Posted: 01 Sep 1998
Jaksa Cvitanic and Ioannis Karatzas
California Institute of Technology - Division of the Humanities and Social Sciences and Columbia University - Department of Statistics
Downloads 887 (19,758)
Citation 17

Abstract:

On Dynamic Measures of Risk

Finance and Stochastics, Vol. 3, Iss. 4, August 1999
Posted: 30 Sep 1999
Jaksa Cvitanic and Ioannis Karatzas
California Institute of Technology - Division of the Humanities and Social Sciences and Columbia University - Department of Statistics

Abstract:

2.

The Harmonic Fisher Equation and the Inflationary Bias of Real Uncertainty

Cowles Foundation Discussion Paper No. 1424
Number of pages: 28 Posted: 10 Jun 2003
Columbia University - Department of Statistics, Yale University - School of Management, University of Minnesota and Yale University - Cowles Foundation
Downloads 171 (138,698)
Citation 6

Abstract:

Inflation, Equilibrium, Control, Interest Rate, Central Bank, Harmonic Fisher Equation

3.

Inflationary Bias in a Simple Stochastic Economy

Cowles Foundation Discussion Paper No. 1333
Number of pages: 26 Posted: 07 Nov 2001
Columbia University - Department of Statistics, Yale University - School of Management, University of Minnesota and Yale University - Cowles Foundation
Downloads 126 (180,007)
Citation 1

Abstract:

Inflation, Strategic Market Game, Control, Interest Rate, Central Bank, Equilibrium

4.

Financial Control of a Competitive Economy without Randomness

Cowles Foundation Discussion Paper No. 1681
Number of pages: 32 Posted: 30 Oct 2008
Ioannis Karatzas, Martin Shubik and William D. Sudderth
Columbia University - Department of Statistics, Yale University - School of Management and University of Minnesota
Downloads 63 (276,901)

Abstract:

Dynamic programming, Public goods, Bureaucracy, Taxation

5.

Inflationary Equilibrium in a Stochastic Economy with Independent Agents

Cowles Foundation Discussion Paper No. 1708
Number of pages: 31 Posted: 18 Jun 2009 Last Revised: 15 Jul 2009
Yale University - Cowles Foundation, Columbia University - Department of Statistics, Yale University - School of Management and University of Minnesota
Downloads 34 (353,085)

Abstract:

Inflation, Economic equilibrium and dynamics, Dynamic programming, Consumption

6.

Optimal Stopping for Dynamic Convex Risk Measures

Illinois Journal of Mathematics, 54, 1025-1067, 2010
Number of pages: 43 Posted: 16 Feb 2014 Last Revised: 08 Jul 2016
Erhan Bayraktar, Ioannis Karatzas and Song Yao
University of Michigan at Ann Arbor - Department of Mathematics, Columbia University - Department of Statistics and University of Pittsburgh
Downloads 14 (427,791)
Citation 1

Abstract:

Convex risk measures, continuous-time optimal stopping, robustness methods, zero sum games, saddle point, reflected backward stochastic differential equations, BMO martingales

7.

Equilibrium Models with Singular Asset Prices

Mathematical Finance, Vol. 1, Issue 3, pp. 11-29, July 1991
Number of pages: 19 Posted: 18 Apr 2008
Ioannis Karatzas, John P. Lehoczky and Steven E. Shreve
Columbia University - Department of Statistics, Carnegie Mellon University and affiliation not provided to SSRN
Downloads 6 (508,042)
Citation 4

Abstract:

8.

Explicit Solution of a General Consumption/Investment Problem

Mathematics of Operations Research, Vol. 11, No. 2, pp. 261-294, May 1986
Number of pages: 34 Posted: 22 Jan 2008 Last Revised: 07 Nov 2015
Columbia University - Department of Statistics, Carnegie Mellon University, University of Texas at Dallas - Naveen Jindal School of Management and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 0 (443,319)
Citation 33

Abstract:

Mutual fund theorem,investment-consumption problem, consumption/portfolio problem, dynamic programming, stochastic control, bankruptcy,Brownian motion

9.

Hedging American Contingent Claims with Constrained Portfolios

Finance and Stochastics, Vol. 2, No. 3 (1998)
Posted: 09 Jun 1998
Ioannis Karatzas and Steven Kou
Columbia University - Department of Statistics and Risk Management Institute, NUS

Abstract:

10.

Irreversible Investment and Industry Equilibrium

FINANCE AND STOCHASTICS, Vol. I, No. 1, 1997
Posted: 16 Oct 1996
Fridrik Mar Baldursson and Ioannis Karatzas
Reykjavik University and Columbia University - Department of Statistics

Abstract: