Scott Robertson

Questrom School of Business, Boston University

Assistant Professor of Finance

595 Commonwealth Avenue

Boston, MA MA 02215

United States

SCHOLARLY PAPERS

7

DOWNLOADS

549

SSRN CITATIONS
Rank 29,272

SSRN RANKINGS

Top 29,272

in Total Papers Citations

4

CROSSREF CITATIONS

22

Scholarly Papers (7)

1.

Portfolios and Risk Premia for the Long Run

Annals of Applied Probability, Forthcoming
Number of pages: 38 Posted: 18 Mar 2011 Last Revised: 19 Jan 2012
Paolo Guasoni and Scott Robertson
Boston University - Department of Mathematics and Statistics and Questrom School of Business, Boston University
Downloads 276 (120,151)
Citation 3

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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
Boston University - Department of Mathematics and Statistics, Questrom School of Business, Boston University, Boston University - Questrom School of Business and Carnegie Mellon University
Downloads 105 (277,542)
Citation 3

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

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
Boston University - Department of Mathematics and Statistics and Questrom School of Business, Boston University
Downloads 74 (348,803)

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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
Boston University - Department of Mathematics and Statistics and Questrom School of Business, Boston University
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portfolio choice, fund separation, long horizon

4.

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 63 (375,991)
Citation 1

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

5.

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 - Department of Finance & Economics, Questrom School of Business, Boston University and Questrom School of Business, Boston University
Downloads 30 (504,430)

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

6.

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 (702,158)
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indifference price, large deviations theory, optimal positions, vanishing hedging error, incomplete market

7.

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