2 papers
q-fin.MF2025
Optimal Investment in Equity and Credit Default Swaps in the Presence of Default
Zhe Fei, Scott Robertson
We consider an equity market subject to risk from both unhedgeable shocks and default. The novelty of our work is that to partially offset default risk, investors may dynamically t…
q-fin.TR2025
Strategic Informed Trading and the Value of Private Information
Michail Anthropelos, Scott Robertson
We consider a market of risky financial assets whose participants are an informed trader, a representative uninformed trader, and noisy liquidity providers. We prove the existence…