1 citations · 1 across the 11 of their papers we have counts for
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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…
Optimal Investment, Demand and Arbitrage under Price Impact
Michail Anthropelos, Scott Robertson, Konstantinos Spiliopoulos
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price im…
Effective risk aversion in thin risk-sharing markets
Michail Anthropelos, Constantinos Kardaras, Georgios Vichos
We consider thin incomplete financial markets, where traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the demand schedules th…
The pricing of contingent claims and optimal positions in asymptotically complete markets
Michail Anthropelos, Scott Robertson, Konstantinos Spiliopoulos
We study utility indifference prices and optimal purchasing quantities for a contingent claim, in an incomplete semi-martingale market, in the presence of vanishing hedging errors…