77 citations · 93 across the 14 of their papers we have counts for
17 papers
Optimal Investment in Equity and Credit Default Swaps in the Presence of Default
Zhe Fei, Scott Robertson
We consider an equity market subject to risk from both unhedgeable shocks and default. The novelty of our work is that to partially offset default risk, investors may dynamically t…
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…
Equilibrium with Heterogeneous Information Flows
Scott Robertson
We study a continuous time economy where throughout time, insiders receive private signals regarding the risky assets' terminal payoff. We prove existence of a partial communicatio…
Mortgage Contracts and Underwater Default
Yerkin Kitapbayev, Scott Robertson
We analyze recently proposed mortgage contracts that aim to eliminate selective borrower default when the loan balance exceeds the house price (the ``underwater'' effect). We show…
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…
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…
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…
Endogenous Current Coupons
Scott Robertson, Zhe Cheng
We consider the problem of identifying current coupons for Agency backed To-be-Announced (TBA) Mortgage Backed Securities. In a doubly stochastic factor based model which allows fo…
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…
Continuous-time perpetuities and time reversal of diffusions
Constantinos Kardaras, Scott Robertson
We consider the problem of estimating the joint distribution of a continuous-time perpetuity and the underlying factors which govern the cash flow rate, in an ergodic Markov model.…
Indifference pricing for Contingent Claims: Large Deviations Effects
Scott Robertson, Konstantinos Spiliopoulos
We study utility indifference prices and optimal purchasing quantities for a non-traded contingent claim in an incomplete semi-martingale market with vanishing hedging errors. We m…
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…
Large time behavior of solutions to semi-linear equations with quadratic growth in the gradient
Scott Robertson, Hao Xing
This paper studies the large time behavior of solutions to semi-linear Cauchy problems with quadratic nonlinearity in gradients. The Cauchy problem considered has a general state s…
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…
Pricing for Large Positions in Contingent Claims
Scott Robertson
Approximations to utility indifference prices are provided for a contingent claim in the large position size limit. Results are valid for general utility functions on the real line…
Abstract, Classic, and Explicit Turnpikes
Paolo Guasoni, Constantinos Kardaras, Scott Robertson +1
Portfolio turnpikes state that, as the investment horizon increases, optimal portfolios for generic utilities converge to those of isoelastic utilities. This paper proves three kin…
Robust maximization of asymptotic growth
Constantinos Kardaras, Scott Robertson
This paper addresses the question of how to invest in a robust growth-optimal way in a market where the instantaneous expected return of the underlying process is unknown. The opti…