Eberhard Mayerhofer

University of Limerick - Department of Mathematics and Statistics

Castletroy, Co

Limerick

Ireland

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 23,779

SSRN RANKINGS

Top 23,779

in Total Papers Downloads

4,089

SSRN CITATIONS
Rank 33,318

SSRN RANKINGS

Top 33,318

in Total Papers Citations

19

CROSSREF CITATIONS

13

Scholarly Papers (9)

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 and University of Limerick - Department of Mathematics and Statistics
Downloads 778 (61,371)
Citation 18

Abstract:

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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, University of Limerick - Department of Mathematics and Statistics and University of Lugano - Institute of Finance
Downloads 690 (71,735)
Citation 17

Abstract:

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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 563 (92,617)

Abstract:

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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
Independent, École Polytechnique Fédérale de Lausanne, University of Limerick - Department of Mathematics and Statistics and Vienna University of Technology
Downloads 493 (109,123)
Citation 6

Abstract:

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affine process, stochastic correlation, term structure

5.

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 420 (131,779)
Citation 4

Abstract:

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leverage, transaction costs, portfolio choice, performance evaluation

6.

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 409 (135,841)
Citation 1

Abstract:

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

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 350 (161,688)

Abstract:

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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 269 (212,969)

Abstract:

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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 117 (440,065)

Abstract:

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equilibrium, rational expectations, heterogeneous information, welfare