1 citations · 1 across the 11 of their papers we have counts for
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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…
Price Impact Under Heterogeneous Beliefs and Restricted Participation
Michail Anthropelos, Constantinos Kardaras
We consider a financial market in which traders potentially face restrictions in trading some of the available securities. Traders are heterogeneous with respect to their beliefs a…
An equilibrium model for spot and forward prices of commodities
Michail Anthropelos, Michael Kupper, Antonis Papapantoleon
We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward con…