3 papers
q-fin.MF2018
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…
q-fin.PM2018
Ergodic robust maximization of asymptotic growth
Constantinos Kardaras, Scott Robertson
We consider the problem of robustly maximizing the growth rate of investor wealth in the presence of model uncertainty. Possible models are all those under which the assets' region…
q-fin.MF2017
Optimal Investment and Pricing in the Presence of Defaults
Tetsuya Ishikawa, Scott Robertson
We consider the optimal investment problem when the traded asset may default, causing a jump in its price. For an investor with constant absolute risk aversion, we compute indiffer…