77 citations · 93 across the 14 of their papers we have counts for
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q-fin.MF2018★ 1 cited
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…