Ioannis Karatzas

Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve · SIAM Journal on Control and Optimization · 1987 · 1.2K citations

Social Sciences, Economics, Finance +17

Brownian Motion and Stochastic Calculus.

Richard L. Dykstra, Ioannis Karatzas, Steven E. Schreve · Journal of the American Statistical Association · 1989 · 969 citations

Engineering, Mathematics, Probability Theory +13

Martingale and Duality Methods for Utility Maximization in an Incomplete Market

Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve et al. · SIAM Journal on Control and Optimization · 1991 · 828 citations

Business, Economics, Finance +16

Convex Duality in Constrained Portfolio Optimization

Jakša Cvitanić, Ioannis Karatzas · The Annals of Applied Probability · 1992 · 658 citations · Full text

Business, Economics, Finance +17

Approximation and Weak Convergence Methods for Random Processes, With Applications to Stochastic Systems Theory.

Ioannis Karatzas, Harold J. Kushner · Journal of the American Statistical Association · 1985 · 570 citations

Engineering, Mathematics, Dynamical Systems +14