Marko Weber

National University of Singapore (NUS) - Department of Mathematics

Department of Mathematics

Singapore, 117543

Singapore

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 35,093

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Top 35,093

in Total Papers Downloads

1,992

SSRN CITATIONS
Rank 37,856

SSRN RANKINGS

Top 37,856

in Total Papers Citations

9

CROSSREF CITATIONS

11

Scholarly Papers (8)

1.
Downloads 550 ( 71,043)
Citation 6

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 550 (70,574)
Citation 4

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 412 (100,803)
Citation 9

Abstract:

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price-impact, square-root law, trading volume

3.

Systemic Portfolio Diversification

Number of pages: 51 Posted: 23 Mar 2019 Last Revised: 06 Jun 2022
Agostino Capponi and Marko Weber
Columbia University and National University of Singapore (NUS) - Department of Mathematics
Downloads 281 (152,689)

Abstract:

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

4.

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 233 (183,574)
Citation 6

Abstract:

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price impact, long-run, portfolio choice, liquidity

5.

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, Columbia University - Columbia Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 213 (199,822)
Citation 4

Abstract:

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

6.

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 Z├╝rich, Imperial College London - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 141 (283,932)

Abstract:

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

7.

Incomplete-Market Equilibrium with Unhedgeable Fundamentals and Heterogeneous Agents

Number of pages: 61 Posted: 04 Apr 2022
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 115 (330,215)

Abstract:

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equilibrium, incomplete markets, heterogeneous preferences, continuous time

8.

Heterogeneous Beliefs with Uninsurable Income

Number of pages: 20 Posted: 21 Jul 2022
Marko Weber
National University of Singapore (NUS) - Department of Mathematics
Downloads 47 (538,679)

Abstract:

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