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Hedging and portfolio optimization under transaction costs : a martingale approach
Cvitanić, Jakša - In: Mathematical finance : an international journal of … 6 (1996) 2, pp. 133-165
Persistent link: https://www.econbiz.de/10001201641
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On dynamic measures of risk
Cvitanić, Jakša; Karatzas, Ioannis - In: Finance and stochastics 3 (1999) 4, pp. 451-482
Persistent link: https://www.econbiz.de/10001412192
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Methods of mathematical finance
Karatzas, Ioannis; Shreve, Steven E. - 2003 - [Nachdr.]
Persistent link: https://www.econbiz.de/10002642179
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Non-addictive habits : optimal consumption-portfolio policies
Detemple, Jérôme B.; Karatzas, Ioannis - In: Journal of economic theory 113 (2003) 2, pp. 265-285
Persistent link: https://www.econbiz.de/10001876017
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Relative arbitrage in volatility-stabilized markets
Fernholz, Robert; Karatzas, Ioannis - In: Annals of finance 1 (2005) 2, pp. 149-177
Persistent link: https://www.econbiz.de/10002713164
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A second-order stock market model
Fernholz, Robert; Ichiba, Tomoyuki; Karatzas, Ioannis - In: Annals of finance 9 (2013) 3, pp. 439-454
Persistent link: https://www.econbiz.de/10009776425
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Stochastic portfolio theory : an overview
Karatzas, Ioannis; Fernholz, Robert - 2009
Persistent link: https://www.econbiz.de/10003826916
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The numéraire portfolio in semimartingale financial models
Karatzas, Ioannis; Kardaras, Constantinos - In: Finance and stochastics 11 (2007) 4, pp. 447-493
Persistent link: https://www.econbiz.de/10003645513
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Diversity-weighted portfolios with negative parameter
Vervuurt, Alexander; Karatzas, Ioannis - In: Annals of finance 11 (2015) 3/4, pp. 411-432
Persistent link: https://www.econbiz.de/10011459422
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Trading strategies generated by Lyapunov functions
Karatzas, Ioannis; Ruf, Johannes - In: Finance and stochastics 21 (2017) 3, pp. 753-787
Persistent link: https://www.econbiz.de/10011944423