77 citations · 79 across the 2 of their papers we have counts for
2 papers
q-fin.MF2014★ 2 cited
Long Term Optimal Investment in Matrix Valued Factor Models
Scott Robertson, Hao Xing
Long term optimal investment problems are studied in a factor model with matrix valued state variables. Explicit parameter restrictions are obtained under which, for an isoelastic…
math.PR2012★ 77 cited
Portfolios and risk premia for the long run
Paolo Guasoni, Scott Robertson
This paper develops a method to derive optimal portfolios and risk premia explicitly in a general diffusion model for an investor with power utility and a long horizon. The market…