77 citations · 93 across the 14 of their papers we have counts for
5 papers · 1 filter
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…
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…
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…
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…
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…