1 citations · 1 across the 11 of their papers we have counts for
17 papers
Log-optimality with small liability stream
Michail Anthropelos, Constantinos Kardaras, Constantinos Stefanakis
In an incomplete financial market with general continuous semimartingale dynamics; we model an investor with log-utility preferences who, in addition to an initial capital, receive…
Continuous-time Equilibrium Returns in Markets with Price Impact and Transaction Costs
Michail Anthropelos, Constantinos Stefanakis
We consider an Ito-financial market at which the risky assets' returns are derived endogenously through a market-clearing condition amongst heterogeneous risk-averse investors with…
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…
Optimal Investment and Equilibrium Pricing under Ambiguity
Michail Anthropelos, Paul Schneider
We consider portfolio selection under nonparametric -maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under a…
Competition in Fund Management and Forward Relative Performance Criteria
Michail Anthropelos, Tianran Geng, Thaleia Zariphopoulou
In an Ito-diffusion market, two fund managers trade under relative performance concerns. For both the asset specialization and diversification settings, we analyze the passive and…
Nash Equilibria in Optimal Reinsurance Bargaining
Michail Anthropelos, Tim J. Boonen
We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class o…