77 citations · 93 across the 14 of their papers we have counts for
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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…
q-fin.PR2012
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…