Paolo Guasoni

Dublin City University - School of Mathematical Sciences

Dublin

Ireland

http://www.guasoni.com

Boston University - Department of Mathematics and Statistics

Boston, MA 02215

United States

  • Dublin City University - School of Mathematical Sciences

  • Boston University - Department of Mathematics and Statistics

SCHOLARLY PAPERS

40

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58

CROSSREF CITATIONS

108

Ideas:
“  Trading Strategies, Transaction costs, Cryptocurrencies, Leveraged ETFs, Options Investing, Commodities.  ”

  • Dublin City University - School of Mathematical Sciences

  • Boston University - Department of Mathematics and Statistics

Scholarly Papers (40)

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1.

Portfolio Choice with Transaction Costs: A User's Guide

Boston U. School of Management Research Paper No. 2012-22
Number of pages: 26 Posted: 01 Aug 2012 Last Revised: 21 Aug 2012
Paolo Guasoni and Johannes Muhle-Karbe
Dublin City University - School of Mathematical Sciences and Imperial College London - Department of Mathematics
Downloads 531 (62,941)
Citation 4

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transaction costs, long-run, portfolio choice, Merton problem

2.

Dynamic Trading Volume

Downloads 530 ( 63,062)
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 and Marko Weber
Dublin City University - School of Mathematical Sciences and National University of Singapore (NUS) - Department of Mathematics
Downloads 529 (62,515)
Citation 4

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trading volume, long-run, portfolio choice, liquidity

Dynamic Trading Volume

Mathematical Finance, Vol. 27, Issue 2, pp. 313-349, 2017
Number of pages: 37 Posted: 28 May 2020
Paolo Guasoni
Dublin City University - School of Mathematical Sciences
Downloads 1 (798,432)
Citation 3
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trading volume, long‐run, portfolio choice, liquidity

3.

Trading Fractional Brownian Motion

Number of pages: 21 Posted: 22 Jun 2017 Last Revised: 22 May 2019
Paolo Guasoni, Zsolt Nika and Miklos Rasonyi
Dublin City University - School of Mathematical Sciences, Peter Pazmany Catholic University and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics
Downloads 464 (94,734)

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fractional Brownian motion, transaction costs, price impact, trading

4.

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 and Eberhard Mayerhofer
Dublin City University - School of Mathematical Sciences and University of Limerick - Department of Mathematics and Statistics
Downloads 433 (80,734)

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

5.

Transaction Costs, Trading Volume, and the Liquidity Premium

Boston U. School of Management Research Paper No. 2011-16
Number of pages: 30 Posted: 04 Aug 2011 Last Revised: 05 Feb 2013
Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe and Walter Schachermayer
Vienna University of Technology, Dublin City University - School of Mathematical Sciences, Imperial College London - Department of Mathematics and Universität Wien, Fakultät für Mathematik
Downloads 418 (84,162)
Citation 8

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transaction costs, long-run, portfolio choice, liquidity premium, trading volume

6.

Nonlinear Price Impact and Portfolio Choice

Number of pages: 31 Posted: 02 Jun 2015 Last Revised: 16 May 2018
Paolo Guasoni and Marko Weber
Dublin City University - School of Mathematical Sciences and National University of Singapore (NUS) - Department of Mathematics
Downloads 375 (95,478)
Citation 7

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price-impact, square-root law, trading volume

7.

The Limits of Leverage

Downloads 373 ( 96,049)
Citation 3

The Limits of Leverage

Number of pages: 32 Posted: 07 Jun 2014 Last Revised: 11 Sep 2016
Paolo Guasoni and Eberhard Mayerhofer
Dublin City University - School of Mathematical Sciences and University of Limerick - Department of Mathematics and Statistics
Downloads 373 (95,251)
Citation 4

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leverage, transaction costs, portfolio choice, performance evaluation

The Limits of Leverage

Mathematical Finance, Vol. 29, Issue 1, pp. 249-284, 2019
Number of pages: 36 Posted: 11 Jan 2019
Paolo Guasoni and Eberhard Mayerhofer
Dublin City University - School of Mathematical Sciences and University of Limerick - Department of Mathematics and Statistics
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leverage, portfolio choice, transaction costs

8.

Shortfall Aversion

Downloads 343 (105,507)
Citation 3

Shortfall Aversion

Columbia Law and Economics Working Paper No. 483
Number of pages: 43 Posted: 20 Jun 2014 Last Revised: 28 Sep 2017
Paolo Guasoni, Gur Huberman and Dan Ren
Dublin City University - School of Mathematical Sciences, Columbia Business School - Finance and Economics and University of Dayton
Downloads 261 (140,524)

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loss aversion, portfolio choice, consumption, endowments

Shortfall Aversion

Columbia Business School Research Paper No. 15-22
Number of pages: 43 Posted: 15 Feb 2015 Last Revised: 28 Sep 2017
Paolo Guasoni, Gur Huberman and Dan Ren
Dublin City University - School of Mathematical Sciences, Columbia Business School - Finance and Economics and University of Dayton
Downloads 82 (359,910)
Citation 1

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loss aversion, portfolio choice, consumption, endowments

Shortfall Aversion

CEPR Discussion Paper No. DP10064
Number of pages: 48 Posted: 25 Sep 2014
Paolo Guasoni, Gur Huberman and Dan Ren
Dublin City University - School of Mathematical Sciences, Columbia Business School - Finance and Economics and University of Dayton
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consumption, endowments, loss aversion, portfolio choice

9.

Who Should Sell Stocks?

Downloads 326 (111,659)

Who Should Sell Stocks?

Number of pages: 34 Posted: 07 Sep 2014 Last Revised: 02 Nov 2017
Paolo Guasoni, Ren Liu and Johannes Muhle-Karbe
Dublin City University - School of Mathematical Sciences, ETH Zürich and Imperial College London - Department of Mathematics
Downloads 325 (111,347)

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transaction costs, dividends, long-run, portfolio choice

Who Should Sell Stocks?

Mathematical Finance, Vol. 29, Issue 2, pp. 448-482, 2019
Number of pages: 35 Posted: 13 Mar 2019
Paolo Guasoni, Ren Liu and Johannes Muhle‐Karbe
Dublin City University - School of Mathematical Sciences, ETH Zürich and University of Michigan at Ann Arbor
Downloads 1 (798,432)
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dividends, long‐run, portfolio choice, transaction costs, 91G10, 91G80

10.

Consumption in Incomplete Markets

Number of pages: 30 Posted: 20 Mar 2014 Last Revised: 17 Jun 2018
Paolo Guasoni and Gu Wang
Dublin City University - School of Mathematical Sciences and Worcester Polytechnic Institute
Downloads 299 (122,483)
Citation 1

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portfolio choice, consumption, incomplete markets, power utility

11.

Fragility of Local Martingale Diffusion Models of Arbitrage and Bubbles

Boston U. School of Management Research Paper No. 2011-12
Number of pages: 17 Posted: 01 Jun 2011 Last Revised: 03 Feb 2014
Paolo Guasoni and Miklos Rasonyi
Dublin City University - School of Mathematical Sciences and University of Edinburgh - School of Mathematics
Downloads 299 (122,483)
Citation 5

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Arbitrage, Bubbles, Transaction Costs, Local Martingales

12.

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 and Eberhard Mayerhofer
Dublin City University - School of Mathematical Sciences and University of Limerick - Department of Mathematics and Statistics
Downloads 286 (128,389)

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

13.

The Fundamental Theorem of Asset Pricing Under Transaction Costs

Boston U. School of Management Research Paper No. 2011-7
Number of pages: 35 Posted: 23 Mar 2011 Last Revised: 15 Apr 2012
Paolo Guasoni, Emmanuel Lepinette and Miklos Rasonyi
Dublin City University - School of Mathematical Sciences, Université Paris-Dauphine - CEREMADE, CNRS and University of Edinburgh - School of Mathematics
Downloads 284 (129,376)
Citation 2

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Arbitrage, Fundamental Theorem of Asset Pricing, Transaction Costs, Admissible Strategies, Finite Variation

14.

Portfolios and Risk Premia for the Long Run

Annals of Applied Probability, Forthcoming, Boston U. School of Management Research Paper No. 2011-4
Number of pages: 38 Posted: 18 Mar 2011 Last Revised: 19 Jan 2012
Paolo Guasoni and Scott Robertson
Dublin City University - School of Mathematical Sciences and Questrom School of Business, Boston University
Downloads 280 (131,253)
Citation 4

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Long Run, Portfolio Choice, Derivatives Pricing, Incomplete Markets

15.

Investing with Liquid and Illiquid Assets

Downloads 260 (141,687)
Citation 5

Investing with Liquid and Illiquid Assets

Number of pages: 32 Posted: 14 Nov 2014 Last Revised: 08 Apr 2016
Maxim Bichuch and Paolo Guasoni
Johns Hopkins University and Dublin City University - School of Mathematical Sciences
Downloads 258 (142,208)

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portfolio choice, transaction costs, hedging, illiquidity, fund separation

Investing with Liquid and Illiquid Assets

Mathematical Finance, Vol. 28, Issue 1, pp. 119-152, 2018
Number of pages: 34 Posted: 17 Jan 2018
Maxim Bichuch and Paolo Guasoni
Johns Hopkins University and Dublin City University - School of Mathematical Sciences
Downloads 2 (784,455)
Citation 1
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portfolio choice, transaction costs, hedging

16.

Performance Maximization of Actively Managed Funds

Downloads 245 (150,284)
Citation 6

Performance Maximization of Actively Managed Funds

FRB of New York Staff Report No. 427
Number of pages: 45 Posted: 21 Jan 2010
Paolo Guasoni, Gur Huberman and Zhenyu Wang
Dublin City University - School of Mathematical Sciences, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 176 (204,160)
Citation 3

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alpha, hedge funds, mutual funds, portfolio management, options

Performance Maximization of Actively Managed Funds

Journal of Finanical Economics, Vol. 101, No. 3. pp. 574-595, September 2011
Number of pages: 51 Posted: 22 Oct 2011
Paolo Guasoni, Gur Huberman and Zhenyu Wang
Dublin City University - School of Mathematical Sciences, Columbia Business School - Finance and Economics and University of Texas at Austin - Department of Finance
Downloads 66 (407,511)

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Performance Maximization of Actively Managed Funds

CEPR Discussion Paper No. DP7676
Number of pages: 47 Posted: 10 Feb 2010
Paolo Guasoni, Gur Huberman and Zhenyu Wang
Dublin City University - School of Mathematical Sciences, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 3 (773,113)
Citation 1
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alpha, hedge funds, mutual funds, options, portfolio management

17.

Hedging, Arbitrage, and Optimality with Superlinear Frictions

Boston U. School of Management Research Paper No. 2013-8
Number of pages: 23 Posted: 28 Aug 2013 Last Revised: 09 Oct 2013
Paolo Guasoni and Miklos Rasonyi
Dublin City University - School of Mathematical Sciences and University of Edinburgh - School of Mathematics
Downloads 229 (160,351)
Citation 6

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hedging, arbitrage, price-impact, frictions, utility maximization

18.

High-Frequency Trading with Fractional Brownian Motion

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-5
Number of pages: 27 Posted: 16 Aug 2019 Last Revised: 17 Jul 2020
Paolo Guasoni, Yuliya Mishura and Miklos Rasonyi
Dublin City University - School of Mathematical Sciences, Taras Shevchenko National University of Kyiv and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics
Downloads 223 (164,542)

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fractional Brownian motion, transaction costs, high frequency, trading

19.

Lightning Network Economics: Channels

Number of pages: 20 Posted: 06 May 2021
Paolo Guasoni, Gur Huberman and Clara Shikhelman
Dublin City University - School of Mathematical Sciences, Columbia Business School - Finance and Economics and Chaincode Labs
Downloads 220 (173,241)

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lightning network, bitcoin, cryptocurrencies, payment systems

20.

Rebalancing Multiple Assets with Mutual Price Impact

Number of pages: 24 Posted: 15 Feb 2015 Last Revised: 22 Dec 2016
Paolo Guasoni and Marko Weber
Dublin City University - School of Mathematical Sciences and National University of Singapore (NUS) - Department of Mathematics
Downloads 216 (169,477)
Citation 6

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price impact, long-run, portfolio choice, liquidity

21.

Hedge and Mutual Funds' Fees and the Separation of Private Investments

Number of pages: 34 Posted: 23 Aug 2012 Last Revised: 26 Oct 2014
Paolo Guasoni and Gu Wang
Dublin City University - School of Mathematical Sciences and Worcester Polytechnic Institute
Downloads 178 (202,182)
Citation 3

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hedge funds, portfolio choice, high-water marks, performance fees, management fees

22.

Healthcare and Consumption with Aging

Number of pages: 40 Posted: 14 Jul 2016 Last Revised: 23 Sep 2016
Paolo Guasoni and Yu-Jui Huang
Dublin City University - School of Mathematical Sciences and University of Colorado at Boulder - Department of Applied Mathematics
Downloads 175 (205,141)

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healthcare, consumption, aging, mortality, Gompertz law

23.

Long Horizons, High Risk-Aversion, and Endogenous Spreads

Downloads 170 (210,337)
Citation 11

Long Horizons, High Risk-Aversion, and Endogenous Spreads

Boston U. School of Management Research Paper No. 2011-18
Number of pages: 27 Posted: 05 Oct 2011 Last Revised: 01 Feb 2013
Paolo Guasoni and Johannes Muhle-Karbe
Dublin City University - School of Mathematical Sciences and Imperial College London - Department of Mathematics
Downloads 170 (210,495)
Citation 1

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transaction costs, long-run, portfolio choice, exponential utility, trading volume

Long Horizons, High Risk Aversion, and Endogenous Spreads

Mathematical Finance, Vol. 25, Issue 4, pp. 724-753, 2015
Number of pages: 30 Posted: 14 Sep 2015
Paolo Guasoni and Johannes Muhle-Karbe
Dublin City University - School of Mathematical Sciences and Imperial College London - Department of Mathematics
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Citation 2
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transaction costs, long‐run portfolio choice, exponential utility, trading volume

24.

Asset Prices in Segmented and Integrated Markets

Downloads 157 (224,971)
Citation 1

Asset Prices in Segmented and Integrated Markets

Number of pages: 28 Posted: 19 Mar 2018
Paolo Guasoni and Kwok Chuen Wong
Dublin City University - School of Mathematical Sciences and Dublin City University - School of Mathematical Sciences
Downloads 113 (291,297)

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asset pricing, integration, financialization, equilibrium

Asset Prices in Segmented and Integrated Markets

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-5
Number of pages: 29 Posted: 09 May 2018
Paolo Guasoni and Kwok Chuen Wong
Dublin City University - School of Mathematical Sciences and Dublin City University - School of Mathematical Sciences
Downloads 44 (493,077)
Citation 1

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asset pricing, integration, financialization, equilibrium

25.

Should Commodity Investors Follow Commodities' Prices?

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-8
Number of pages: 27 Posted: 24 Jul 2018 Last Revised: 25 Sep 2019
Paolo Guasoni, Antonella Tolomeo and Gu Wang
Dublin City University - School of Mathematical Sciences, University of Torino and Worcester Polytechnic Institute
Downloads 140 (246,986)
Citation 2

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portfolio choice, commodities, filtering, intertemporal hedging, long-run

26.

Sharing Profits in the Sharing Economy

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-3
Number of pages: 22 Posted: 07 Nov 2018 Last Revised: 02 Mar 2020
Paolo Guasoni and Gu Wang
Dublin City University - School of Mathematical Sciences and Worcester Polytechnic Institute
Downloads 128 (264,673)

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optimal taxation, principal-agent, heterogeneous skill

27.

The Learning Premium

Number of pages: 27 Posted: 02 May 2018
Maxim Bichuch and Paolo Guasoni
Johns Hopkins University and Dublin City University - School of Mathematical Sciences
Downloads 115 (286,250)

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Equilibrium, Asset Pricing, Filtering, Learning

28.

Abstract, Classic, and Explicit Turnpikes

Boston U. School of Management Research Paper No. 2011-5
Number of pages: 34 Posted: 18 Mar 2011 Last Revised: 09 Feb 2012
Paolo Guasoni, Scott Robertson, Hao Xing and Constantinos Kardaras
Dublin City University - School of Mathematical Sciences, Questrom School of Business, Boston University, Boston University - Questrom School of Business and Carnegie Mellon University
Downloads 107 (301,074)
Citation 4

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Portfolio Choice, Incomplete Markets, Long-Run, Utility Functions, Turnpikes

29.

Robust Portfolios and Weak Incentives in Long Run Investments

Downloads 88 (341,710)

Robust Portfolios and Weak Incentives in Long Run Investments

Boston U. School of Management Research Paper No. 2013-5
Number of pages: 35 Posted: 11 Jun 2013 Last Revised: 08 Oct 2013
Paolo Guasoni, Johannes Muhle-Karbe and Hao Xing
Dublin City University - School of Mathematical Sciences, Imperial College London - Department of Mathematics and Boston University - Questrom School of Business
Downloads 88 (344,630)

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long run, portfolio choice, incentives, executive compensation

Robust Portfolios and Weak Incentives in Long‐Run Investments

Mathematical Finance, Vol. 27, Issue 1, pp. 3-37, 2017
Number of pages: 35 Posted: 15 Jan 2017
Paolo Guasoni, Johannes Muhle‐Karbe and Hao Xing
Dublin City University - School of Mathematical Sciences, University of Michigan at Ann Arbor and Boston University - Questrom School of Business
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long run, portfolio choice, incentives, executive compensation

30.

Consumption and Investment with Interest Rate Risk

Number of pages: 26 Posted: 08 Feb 2017 Last Revised: 22 Jul 2018
Paolo Guasoni and Gu Wang
Dublin City University - School of Mathematical Sciences and Worcester Polytechnic Institute
Downloads 87 (344,172)
Citation 1

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portfolio choice, consumption, stochastic interest rate, incomplete market, power utility

31.

Reference Dependence and Market Participation

Number of pages: 26 Posted: 14 Aug 2017
Paolo Guasoni and Andrea Meireles-Rodrigues
Dublin City University - School of Mathematical Sciences and University of York - Department of Mathematics
Downloads 82 (356,506)
Citation 4

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loss aversion, market participation, personal equilibria, portfolio choice, reference dependence

32.

Static Fund Separation of Long Term Investments

Downloads 77 (369,917)

Static Fund Separation of Long Term Investments

Boston U. School of Management Research Paper, No. 2011-15
Number of pages: 38 Posted: 25 Jun 2011 Last Revised: 27 Mar 2012
Paolo Guasoni and Scott Robertson
Dublin City University - School of Mathematical Sciences and Questrom School of Business, Boston University
Downloads 77 (373,805)

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fund separation, long horizon, portfolio choice

Static Fund Separation of Long‐Term Investments

Mathematical Finance, Vol. 25, Issue 4, pp. 789-826, 2015
Number of pages: 38 Posted: 14 Sep 2015
Paolo Guasoni and Scott Robertson
Dublin City University - School of Mathematical Sciences and Questrom School of Business, Boston University
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portfolio choice, fund separation, long horizon

33.

American Student Loans: Repayment and Valuation

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-11
Number of pages: 19 Posted: 23 Oct 2020 Last Revised: 26 Oct 2020
Paolo Guasoni, Yu-Jui Huang and Saeed Khalili
Dublin City University - School of Mathematical Sciences, University of Colorado at Boulder - Department of Applied Mathematics and University of Colorado Boulder
Downloads 76 (372,650)

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student loans, repayment, valuation, loan forgiveness

34.

Young, Timid, and Risk Takers

Number of pages: 20 Posted: 18 Feb 2021
Paolo Guasoni, Miklos Rasonyi and Lóránt Nagy
Dublin City University - School of Mathematical Sciences, Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics and Central European University (CEU)
Downloads 55 (439,987)

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mean-reversion, exponential utility, portfolio choice, long-term safe assets

35.

Dynamic Information Aggregation and Welfare

Number of pages: 20 Posted: 01 Nov 2019
Luca Bernardinelli, Paolo Guasoni and Eberhard Mayerhofer
affiliation not provided to SSRN, Dublin City University - School of Mathematical Sciences and University of Limerick - Department of Mathematics and Statistics
Downloads 53 (447,373)

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equilibrium, rational expectations, heterogeneous information, welfare

36.

Reference Dependence: Endogenous Anchors and Life-Cycle Investing

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 21-2
Number of pages: 45 Posted: 23 Jul 2020 Last Revised: 12 Mar 2021
Paolo Guasoni and Andrea Meireles-Rodrigues
Dublin City University - School of Mathematical Sciences and University of York - Department of Mathematics
Downloads 50 (458,847)

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complete market; endogenous anchors; life-cycle investment; loss aversion; personal equilibria; reference dependence

37.

No Arbitrage Under Transaction Costs, with Fractional Brownian Motion and Beyond

Mathematical Finance, Vol. 16, No. 3, pp. 569-582, July 2006
Number of pages: 14 Posted: 12 Jun 2006
Paolo Guasoni
Dublin City University - School of Mathematical Sciences
Downloads 24 (588,015)
Citation 3
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38.

Relaxed Utility Maximization in Complete Markets

Mathematical Finance, Vol. 21, Issue 4, pp. 703-722, 2011
Number of pages: 20 Posted: 23 Aug 2011
Sara Biagini and Paolo Guasoni
LUISS University and Dublin City University - School of Mathematical Sciences
Downloads 2 (750,714)
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utility maximization, asymptotic elasticity, integral representation

39.

The Incentives of Hedge Fund Fees and High‐Water Marks

Mathematical Finance, Vol. 26, Issue 2, pp. 269-295, 2016
Number of pages: 27 Posted: 10 Mar 2016
Paolo Guasoni and Jan Obłój
Dublin City University - School of Mathematical Sciences and University of Oxford
Downloads 0 (780,600)
Citation 1
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hedge funds, high‐water marks, performance fees, portfolio choice, incentives, risk‐shifting, competitive equilibrium, manager's participation

40.

Mean-Variance Hedging for Stochastic Volatility Models

Posted: 14 Jun 2003
Francesca Biagini, Paolo Guasoni and Maurizio Pratelli
University of Bologna - Department of Mathematics, Dublin City University - School of Mathematical Sciences and University of Pisa - Department of Mathematics

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