Marko Weber

National University of Singapore (NUS) - Department of Mathematics

Department of Mathematics

Singapore, 117543

Singapore

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 31,050

SSRN RANKINGS

Top 31,050

in Total Papers Downloads

3,076

SSRN CITATIONS
Rank 25,390

SSRN RANKINGS

Top 25,390

in Total Papers Citations

34

CROSSREF CITATIONS

13

Scholarly Papers (10)

1.

Dynamic Trading Volume

Boston U. School of Management Research Paper No. 2012-28
Number of pages: 36 Posted: 03 Oct 2012 Last Revised: 13 Dec 2014
Paolo Guasoni, Paolo Guasoni and Marko Weber
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and National University of Singapore (NUS) - Department of Mathematics
Downloads 589 (86,776)
Citation 5

Abstract:

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trading volume, long-run, portfolio choice, liquidity

2.

Nonlinear Price Impact and Portfolio Choice

Number of pages: 31 Posted: 02 Jun 2015 Last Revised: 16 May 2018
Paolo Guasoni, Paolo Guasoni and Marko Weber
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and National University of Singapore (NUS) - Department of Mathematics
Downloads 459 (117,818)
Citation 14

Abstract:

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price-impact, square-root law, trading volume

3.

Systemic Portfolio Diversification

Number of pages: 55 Posted: 23 Mar 2019 Last Revised: 16 Jun 2023
Agostino Capponi and Marko Weber
Columbia University - Department of Industrial Engineering and Operations Research and National University of Singapore (NUS) - Department of Mathematics
Downloads 447 (121,551)

Abstract:

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systemic diversification, leverage, fire-sale externalities, aggregate vulnerability

4.

Stress Testing Spillover Risk in Mutual Funds

Number of pages: 54 Posted: 21 Nov 2022 Last Revised: 24 Mar 2024
Columbia University - Department of Industrial Engineering and Operations Research, Columbia Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 299 (189,622)
Citation 1

Abstract:

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mutual funds, liquidity mismatch, fire-sale externalities, first-mover incentive, systemic risk

5.

Rebalancing Multiple Assets with Mutual Price Impact

Number of pages: 24 Posted: 15 Feb 2015 Last Revised: 22 Dec 2016
Paolo Guasoni, Paolo Guasoni and Marko Weber
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and National University of Singapore (NUS) - Department of Mathematics
Downloads 266 (213,692)
Citation 6

Abstract:

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price impact, long-run, portfolio choice, liquidity

6.

Swing Pricing for Mutual Funds: Breaking the Feedback Loop between Fire Sales and Fund Redemptions

Office of Financial Research Research Paper No. 18-04, Columbia Business School Research Paper No. 18-72, Management Science, Forthcoming
Number of pages: 47 Posted: 10 Sep 2018 Last Revised: 20 Nov 2019
Columbia University - Department of Industrial Engineering and Operations Research, Columbia Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 263 (216,092)
Citation 4

Abstract:

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mutual funds, first-mover advantage, swing price, fire sales, financial stability

7.
Downloads 249 (228,241)

Swing Pricing: Theory and Evidence

Annual Review of Financial Economics, Vol. 15, pp. 617-640, 2023
Posted: 07 Nov 2023
Columbia University - Department of Industrial Engineering and Operations Research, Columbia Business School and National University of Singapore (NUS) - Department of Mathematics

Abstract:

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Swing Pricing: Theory and Evidence

Forthcoming in the Annual Review of Financial Economics
Number of pages: 29 Posted: 27 Dec 2022 Last Revised: 28 Mar 2023
Columbia University - Department of Industrial Engineering and Operations Research, Columbia Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 249 (227,136)

Abstract:

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mutual funds, liquidity transformation, fire sales, liquidity management

8.

General Equilibrium with Unhedgeable Fundamentals and Heterogeneous Agents

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 22-6
Number of pages: 51 Posted: 04 Apr 2022 Last Revised: 30 Jan 2023
Paolo Guasoni, Paolo Guasoni and Marko Weber
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and National University of Singapore (NUS) - Department of Mathematics
Downloads 238 (238,528)

Abstract:

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equilibrium, incomplete markets, heterogeneous preferences, continuous time

9.

Rebalancing with Linear and Quadratic Costs

Swiss Finance Institute Research Paper No. 14-16
Number of pages: 30 Posted: 28 Feb 2014 Last Revised: 04 Sep 2017
Ren Liu, Johannes Muhle-Karbe and Marko Weber
ETH Zürich, Imperial College London - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 170 (324,355)

Abstract:

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price impact, transaction costs, portfolio choice, long-run

10.

Heterogeneous Beliefs with Uninsurable Income

Number of pages: 20 Posted: 21 Jul 2022
Marko Weber
National University of Singapore (NUS) - Department of Mathematics
Downloads 96 (502,489)

Abstract:

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general equilibrium, incomplete markets, heterogeneous beliefs, labor income, continuous time