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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SSRN CITATIONS
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Top 33,912

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10

CROSSREF CITATIONS

13

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
Ecole Polytechnique Fédérale de Lausanne and University of Limerick - Department of Mathematics and Statistics
Downloads 735 (53,867)
Citation 17

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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
Ecole Polytechnique Fédérale de Lausanne, University of Limerick - Department of Mathematics and Statistics and University of Lugano - Institute of Finance
Downloads 664 (61,675)
Citation 10

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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 514 (85,085)

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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, Ecole Polytechnique Fédérale de Lausanne, University of Limerick - Department of Mathematics and Statistics and Vienna University of Technology
Downloads 468 (95,326)
Citation 5

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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 395 (116,154)
Citation 4

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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 368 (125,849)
Citation 1

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

7.

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 263 (179,315)

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

8.

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 216 (216,947)

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options, portfolio choice, position limits, quadratic optimization

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 89 (432,878)

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equilibrium, rational expectations, heterogeneous information, welfare