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Scott Robertson

  1. Portfolios and risk premia for the long run.

    Thu, 03/08/2012 - 15:01 — SomNambul
    Authors: Scott Robertson, Paolo Guasoni
    Subjects: Probability
    Abstract

    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 has several risky assets and is potentially
    incomplete. Investment opportunities are driven by, and partially correlated
    with, state variables which follow an autonomous diffusion. The framework nests
    models of stochastic interest rates, return predictability, stochastic
    volatility and correlation risk.

  2. Utility Based Pricing in the Large Claim, Nearly Complete Limit.

    Mon, 02/20/2012 - 15:01 — SomNambul
    Authors: Scott Robertson
    Subjects: Pricing of Securities
    Abstract

    This paper provides approximations to utility indifference prices for a
    contingent claim in the large position size limit. Results are valid for
    general utility functions and semi-martingale models. It is shown that as the
    position size approaches infinity, all utility functions with the same rate of
    decay for large negative wealths yield the same price. Practically, this means
    an investor should price like an exponential investor.

  3. Abstract, Classic, and Explicit Turnpikes.

    Thu, 01/06/2011 - 16:01 — SomNambul
    Authors: Hao Xing, Constantinos Kardaras, Scott Robertson, Paolo Guasoni
    Subjects: Portfolio Management
    Abstract

    Portfolio turnpikes state that, as the investment horizon increases, optimal
    portfolios for generic utilities converge to those of isoelastic utilities.
    This paper proves three kinds of turnpikes. The abstract turnpike, valid in a
    general semimartingale setting, states that final payoffs and portfolios
    converge under their myopic probabilities.

  4. Robust maximization of asymptotic growth.

    Thu, 05/20/2010 - 15:01 — SomNambul
    Authors: Constantinos Kardaras, Scott Robertson
    Subjects: Portfolio Management
    Abstract

    This paper addresses the question of how to invest in an extremely robust
    growth-optimal way in a market where the instantaneous expected return of the
    underlying process is unknown. The optimal investment strategy is identified
    using a generalized version of the principle eigenfunction for an elliptic
    second-order differential operator which depends on the covariance structure of
    the underlying process used for investing.

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