Scott Robertson

Questrom School of Business, Boston University

Assistant Professor of Finance

595 Commonwealth Avenue

Boston, MA MA 02215

United States

SCHOLARLY PAPERS

8

DOWNLOADS

659

SSRN CITATIONS
Rank 30,564

SSRN RANKINGS

Top 30,564

in Total Papers Citations

6

CROSSREF CITATIONS

22

Scholarly Papers (8)

1.

Portfolios and Risk Premia for the Long Run

Annals of Applied Probability, Forthcoming, Boston U. School of Management Research Paper No. 2011-4
Number of pages: 38 Posted: 18 Mar 2011 Last Revised: 19 Jan 2012
Paolo Guasoni and Scott Robertson
Dublin City University - School of Mathematical Sciences and Questrom School of Business, Boston University
Downloads 281 (132,375)
Citation 4

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Long Run, Portfolio Choice, Derivatives Pricing, Incomplete Markets

2.

Abstract, Classic, and Explicit Turnpikes

Boston U. School of Management Research Paper No. 2011-5
Number of pages: 34 Posted: 18 Mar 2011 Last Revised: 09 Feb 2012
Dublin City University - School of Mathematical Sciences, Questrom School of Business, Boston University, Boston University - Questrom School of Business and Carnegie Mellon University
Downloads 107 (304,417)
Citation 4

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Portfolio Choice, Incomplete Markets, Long-Run, Utility Functions, Turnpikes

3.

Dynamic Noisy Rational Expectations Equilibrium with Insider Information

Econometrica, Forthcoming
Number of pages: 58 Posted: 02 Jul 2020
Jerome Detemple, Marcel Rindisbacher and Scott Robertson
Boston University Questrom School of Business, Questrom School of Business, Boston University and Questrom School of Business, Boston University
Downloads 106 (306,386)

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Rational Expectations Equilibrium, Heterogenous Information, Diffusions, Prices, Risk Premia, Volatility, Portfolios

Static Fund Separation of Long Term Investments

Boston U. School of Management Research Paper, No. 2011-15
Number of pages: 38 Posted: 25 Jun 2011 Last Revised: 27 Mar 2012
Paolo Guasoni and Scott Robertson
Dublin City University - School of Mathematical Sciences and Questrom School of Business, Boston University
Downloads 77 (377,879)

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fund separation, long horizon, portfolio choice

Static Fund Separation of Long‐Term Investments

Mathematical Finance, Vol. 25, Issue 4, pp. 789-826, 2015
Number of pages: 38 Posted: 14 Sep 2015
Paolo Guasoni and Scott Robertson
Dublin City University - School of Mathematical Sciences and Questrom School of Business, Boston University
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portfolio choice, fund separation, long horizon

5.

Optimal Investment, Derivative Demand and Arbitrage Under Price Impact

Number of pages: 27 Posted: 26 Dec 2018
University of Piraeus - Department of Banking and Financial Management, Questrom School of Business, Boston University and Boston University
Downloads 70 (394,205)
Citation 1

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price impact, derivative pricing, arbitrage, large investors, segmented markets

6.

Mortgage Contracts and Underwater Default

Number of pages: 38 Posted: 04 Mar 2021 Last Revised: 01 Jun 2021
Yerkin Kitapbayev and Scott Robertson
North Carolina State University and Questrom School of Business, Boston University
Downloads 17 (641,998)

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7.

Indifference Pricing for Contingent Claims: Large Deviations Effects

Mathematical Finance, Vol. 28, Issue 1, pp. 335-371, 2018
Number of pages: 37 Posted: 17 Jan 2018
Scott Robertson and Konstantinos Spiliopoulos
Questrom School of Business, Boston University and Boston University
Downloads 1 (769,747)
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indifference price, large deviations theory, optimal positions, vanishing hedging error, incomplete market

8.

Pricing for Large Positions in Contingent Claims

Mathematical Finance, Vol. 27, Issue 3, pp. 746-778, 2017
Number of pages: 33 Posted: 15 Jun 2017
Scott Robertson
Questrom School of Business, Boston University
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indifference pricing, incomplete markets, utility functions, large position size, large deviations