Michail Anthropelos

University of Piraeus - Department of Banking and Financial Management

Lecturer

80 Karaoli & Dimitriou Str.

18534 Piraeus, 185 34 -GR

Greece

SCHOLARLY PAPERS

9

DOWNLOADS

505

SSRN CITATIONS

6

CROSSREF CITATIONS

1

Scholarly Papers (9)

1.

Optimal Investment and Equilibrium Pricing under Ambiguity

Swiss Finance Institute Research Paper No. 21-78
Number of pages: 42 Posted: 24 Nov 2021 Last Revised: 23 Jun 2022
Michail Anthropelos and Paul Schneider
University of Piraeus - Department of Banking and Financial Management and University of Lugano - Institute of Finance
Downloads 120 (318,614)

Abstract:

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ambiguity, equilibrium, asset pricing

2.

Optimal Investment, Derivative Demand and Arbitrage Under Price Impact

Number of pages: 27 Posted: 26 Dec 2018
Michail Anthropelos, Scott Robertson and Konstantinos Spiliopoulos
University of Piraeus - Department of Banking and Financial Management, Questrom School of Business, Boston University and Boston University
Downloads 77 (420,058)
Citation 1

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

3.

Long Term Causality in VIX Markets

Number of pages: 47 Posted: 09 Aug 2018
Michail Anthropelos, Christos Bouras and Evangelos S. Malmpanzi
University of Piraeus - Department of Banking and Financial Management, University of Piraeus - Department of Banking and Financial Management and University of Warwick - Warwick Business School
Downloads 76 (423,176)

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VIX Index; VIX Futures; Granger Causality; Long Horizon Causality; Causality in the Conditional Distribution; Copula Density; Price-Discovery Function

4.

An Equilibrium Model for Spot and Forward Prices of Commodities

Number of pages: 42 Posted: 07 Jun 2016
Michail Anthropelos, Michael Kupper and Antonis Papapantoleon
University of Piraeus - Department of Banking and Financial Management, Humboldt University of Berlin - Department of Mathematics and Technische Universität Berlin (TU Berlin)
Downloads 69 (445,841)

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commodities, equilibrium, spot and forward prices, forward premium, stock and commodity market correlation

5.

Price Impact Under Heterogeneous Beliefs and Restricted Participation

Number of pages: 32 Posted: 18 Nov 2021
Michail Anthropelos and Constantinos Kardaras
University of Piraeus - Department of Banking and Financial Management and London School of Economics & Political Science (LSE)
Downloads 56 (493,814)

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price impact, Nash equilibrium, restricted participation, heterogeneuous agents, different beliefs, welfare

6.

Competition in Fund Management and Forward Relative Performance Criteria

Number of pages: 25 Posted: 07 Dec 2020
Michail Anthropelos, Tianran Geng and Thaleia Zariphopoulou
University of Piraeus - Department of Banking and Financial Management, Boston Consulting Group and University of Texas at Austin - Red McCombs School of Business
Downloads 45 (541,720)
Citation 1

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Competition of asset managers, Nash equilibrium

7.

The Effect of Market Power on Risk-Sharing

Number of pages: 46 Posted: 18 May 2016
Michail Anthropelos
University of Piraeus - Department of Banking and Financial Management
Downloads 25 (656,055)

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Optimal Risk-Sharing, Nash Equilibrium in Risk-Sharing, Security Designing, Predatory Trading, Thin Markets

Effective Risk Aversion in Thin Risk-Sharing Markets

Number of pages: 28 Posted: 01 Apr 2019
Michail Anthropelos, Constantinos Kardaras and George Vichos
University of Piraeus - Department of Banking and Financial Management, London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE) - Department of Statistics
Downloads 22 (699,314)
Citation 1

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effective risk aversion, nash equilibrium, noncompetitive risk sharing, thin markets, price impact

Effective Risk Aversion in Thin Risk‐Sharing Markets

Mathematical Finance, Vol. 30, Issue 4, pp. 1565-1590, 2020
Number of pages: 26 Posted: 07 Oct 2020
Michail Anthropelos, Constantinos Kardaras and Georgios Vichos
University of Piraeus - Department of Banking and Financial Management, London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE)
Downloads 0

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effective risk aversion, Nash equilibrium, noncompetitive risk sharing, price impact, thin markets

9.

Equilibrium in Risk-Sharing Games

Number of pages: 48 Posted: 08 Jul 2016
Michail Anthropelos and Constantinos Kardaras
University of Piraeus - Department of Banking and Financial Management and London School of Economics & Political Science (LSE)
Downloads 15 (733,393)
Citation 5

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Nash equilibrium, risk sharing, heterogeneous beliefs, reporting of beliefs