Eberhard Mayerhofer

University of Limerick - Department of Mathematics and Statistics

Castletroy, Co

Limerick

Ireland

  • University of Limerick - Department of Mathematics and Statistics

SCHOLARLY PAPERS

9

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4,302

TOTAL CITATIONS
Rank 33,321

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Top 33,321

in Total Papers Citations

49

Scholarly Papers (9)

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1.

Affine Diffusion Processes: Theory and Applications

Number of pages: 30 Posted: 22 Feb 2009
Damir Filipović and Eberhard Mayerhofer
École Polytechnique Fédérale de Lausanne (EPFL) and University of Limerick - Department of Mathematics and Statistics
Downloads 793 (66,341)
Citation 20

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Affine Diffusion Process, Exponential Moments, affine term structure models, Riccati Differential Equations

2.

Density Approximations for Multivariate Affine Jump-Diffusion Processes

Swiss Finance Institute Research Paper No. 11-20
Number of pages: 42 Posted: 26 May 2011 Last Revised: 17 Mar 2013
Damir Filipović, Eberhard Mayerhofer and Paul Schneider
École Polytechnique Fédérale de Lausanne (EPFL), University of Limerick - Department of Mathematics and Statistics and University of Lugano - Institute of Finance
Downloads 704 (77,498)
Citation 17

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Affine Processes, Asymptotic Expansion, Density Approximation, Orthogonal Polynomials

3.

Options Portfolio Selection

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-9
Number of pages: 37 Posted: 28 Nov 2017 Last Revised: 01 May 2020
Paolo Guasoni, Paolo Guasoni and Eberhard Mayerhofer
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and University of Limerick - Department of Mathematics and Statistics
Downloads 614 (92,244)

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options, portfolio choice, Sharpe ratio, duality, multiple assets

4.

Affine Processes on Positive Semidefinite Matrices

Number of pages: 57 Posted: 04 Oct 2009 Last Revised: 08 Mar 2011
Christa Cuchiero, Damir Filipović, Eberhard Mayerhofer and Josef Teichmann
Independent, École Polytechnique Fédérale de Lausanne (EPFL), University of Limerick - Department of Mathematics and Statistics and Vienna University of Technology
Downloads 501 (118,915)
Citation 7

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affine process, stochastic correlation, term structure

5.

Leveraged Funds: Robust Replication and Performance Evaluation

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-1
Number of pages: 32 Posted: 19 Sep 2016 Last Revised: 21 Feb 2019
Paolo Guasoni, Paolo Guasoni and Eberhard Mayerhofer
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and University of Limerick - Department of Mathematics and Statistics
Downloads 431 (142,412)
Citation 1

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transaction costs, performance evaluation, tracking error, leverage, ETFs

6.

The Limits of Leverage

Number of pages: 32 Posted: 07 Jun 2014 Last Revised: 11 Sep 2016
Paolo Guasoni, Paolo Guasoni and Eberhard Mayerhofer
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and University of Limerick - Department of Mathematics and Statistics
Downloads 428 (143,510)
Citation 4

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leverage, transaction costs, portfolio choice, performance evaluation

7.

Options Portfolio Selection with Position Limits

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 22-10
Number of pages: 33 Posted: 05 Dec 2022
Paolo Guasoni, Paolo Guasoni, Eberhard Mayerhofer and Mingchuan Zhao
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, University of Limerick - Department of Mathematics and Statistics and University of Limerick - Department of Mathematics and Statistics
Downloads 413 (149,959)

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options, portfolio choice, position limits, quadratic optimization

8.

Rogue Traders

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 21-8
Number of pages: 47 Posted: 08 Jul 2021 Last Revised: 22 Jul 2021
Huayuan Dong, Paolo Guasoni, Paolo Guasoni and Eberhard Mayerhofer
Dublin City University - School of Mathematical Sciences, Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and University of Limerick - Department of Mathematics and Statistics
Downloads 271 (235,701)

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rogue trading, internal fraud, operational risk, stochastic differential games

9.

Dynamic Information Aggregation and Welfare

Number of pages: 20 Posted: 01 Nov 2019
Luca Bernardinelli, Paolo Guasoni, Paolo Guasoni and Eberhard Mayerhofer
affiliation not provided to SSRN, Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and University of Limerick - Department of Mathematics and Statistics
Downloads 147 (414,603)

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equilibrium, rational expectations, heterogeneous information, welfare