Details about Michail Anthropelos

Access statistics for papers by Michail Anthropelos.

Last updated 2022-08-06. Update your information in the RePEc Author Service.

Short-id: pan319

Working Papers

2022

1. Optimal Investment and Equilibrium Pricing under Ambiguity
   Papers, arXiv.org
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2021)

2021

2. Price impact under heterogeneous beliefs and restricted participation
   Papers, arXiv.org

2020

3. Competition in Fund Management and Forward Relative Performance Criteria
   Papers, arXiv.org View citations (6)
4. Effective risk aversion in thin risk-sharing markets
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (1)
   Also in Papers, arXiv.org (2018) View citations (2)
   See also Journal Article in Mathematical Finance (2020)
5. Nash Equilibria in Optimal Reinsurance Bargaining
   Papers, arXiv.org View citations (3)
   See also Journal Article in Insurance: Mathematics and Economics (2020)

2018

6. Optimal Investment, Demand and Arbitrage under Price Impact
   Papers, arXiv.org View citations (2)

2017

7. An equilibrium model for spot and forward prices of commodities
   Papers, arXiv.org View citations (1)
8. Equilibrium in risk-sharing games
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (7)
   Also in Papers, arXiv.org (2016) View citations (1)

2016

9. The pricing of contingent claims and optimal positions in asymptotically complete markets
   Papers, arXiv.org View citations (2)

2013

10. Forward Exponential Performances: Pricing and Optimal Risk Sharing
    Papers, arXiv.org View citations (4)

2012

11. On contingent claims pricing in incomplete markets: A risk sharing approach
    Papers, arXiv.org

2008

12. On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets
    Papers, arXiv.org View citations (11)

Journal Articles

2021

1. Optimal investment, derivative demand, and arbitrage under price impact
   Mathematical Finance, 2021, 31, (1), 3-35

2020

2. Effective risk aversion in thin risk‐sharing markets
   Mathematical Finance, 2020, 30, (4), 1565-1590
   See also Working Paper (2020)
3. Nash equilibria in optimal reinsurance bargaining
   Insurance: Mathematics and Economics, 2020, 93, (C), 196-205 View citations (3)
   See also Working Paper (2020)

2010

4. Partial equilibria with convex capital requirements: existence, uniqueness and stability
   Annals of Finance, 2010, 6, (1), 107-135 View citations (5)