Paolo Guasoni

Boston University - Department of Mathematics and Statistics

Boston, MA 02215

United States

Dublin City University - School of Mathematical Sciences

Dublin

Ireland

http://www.guasoni.com

University of Bologna - Department of Statistics

Bologna, 40126

Italy

  • Boston University - Department of Mathematics and Statistics

  • Dublin City University - School of Mathematical Sciences

  • University of Bologna - Department of Statistics

SCHOLARLY PAPERS

40

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12,575

SSRN CITATIONS
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SSRN RANKINGS

Top 11,141

in Total Papers Citations

76

CROSSREF CITATIONS

73

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

  • Boston University - Department of Mathematics and Statistics

  • Dublin City University - School of Mathematical Sciences

  • University of Bologna - Department of Statistics

Scholarly Papers (40)

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1.

Lightning Network Economics: Channels

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 21-7, Columbia Business School Research Paper Forthcoming
Number of pages: 24 Posted: 06 May 2021 Last Revised: 10 Jan 2023
Paolo Guasoni, Paolo Guasoni, Gur Huberman and Clara Shikhelman
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Columbia University - Columbia Business School, Finance and Chaincode Labs
Downloads 1,088 (39,784)
Citation 8

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lightning network, bitcoin, cryptocurrencies, payment systems

2.

Trading Fractional Brownian Motion

Number of pages: 21 Posted: 22 Jun 2017 Last Revised: 22 May 2019
Paolo Guasoni, Paolo Guasoni, Zsolt Nika and Miklos Rasonyi
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Peter Pazmany Catholic University and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics
Downloads 649 (94,734)

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fractional Brownian motion, transaction costs, price impact, trading

3.

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, Paolo Guasoni and Johannes Muhle-Karbe
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and Imperial College London - Department of Mathematics
Downloads 609 (86,461)
Citation 4

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

4.

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 600 (88,110)
Citation 5

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trading volume, long-run, portfolio choice, liquidity

5.

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 577 (92,643)

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

6.

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, Paolo Guasoni, Johannes Muhle-Karbe and Walter Schachermayer
Vienna University of Technology, Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Imperial College London - Department of Mathematics and Universität Wien, Fakultät für Mathematik
Downloads 477 (116,978)
Citation 8

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

7.

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 467 (120,061)
Citation 14

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price-impact, square-root law, trading volume

8.

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 424 (134,322)
Citation 4

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leverage, transaction costs, portfolio choice, performance evaluation

9.

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 418 (136,603)
Citation 1

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

10.

Shortfall Aversion

Downloads 387 (149,153)
Citation 5

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, Paolo Guasoni, Gur Huberman and Dan Ren
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Columbia University - Columbia Business School, Finance and University of Dayton
Downloads 284 (206,652)

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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, Paolo Guasoni, Gur Huberman and Dan Ren
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Columbia University - Columbia Business School, Finance and University of Dayton
Downloads 103 (503,002)
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, Paolo Guasoni, Gur Huberman and Dan Ren
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Columbia University - Columbia Business School, Finance and University of Dayton
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Citation 5
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consumption, endowments, loss aversion, portfolio choice

11.

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 369 (157,297)

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options, portfolio choice, position limits, quadratic optimization

12.

Who Should Sell Stocks?

Number of pages: 34 Posted: 07 Sep 2014 Last Revised: 02 Nov 2017
Paolo Guasoni, Paolo Guasoni, Ren Liu and Johannes Muhle-Karbe
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, ETH Zürich and Imperial College London - Department of Mathematics
Downloads 368 (157,741)

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transaction costs, dividends, long-run, portfolio choice

13.

Consumption in Incomplete Markets

Number of pages: 30 Posted: 20 Mar 2014 Last Revised: 17 Jun 2018
Paolo Guasoni, Paolo Guasoni and Gu Wang
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and Worcester Polytechnic Institute
Downloads 351 (166,095)
Citation 2

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portfolio choice, consumption, incomplete markets, power utility

14.

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, Paolo Guasoni, Yuliya Mishura and Miklos Rasonyi
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Taras Shevchenko National University of Kyiv and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics
Downloads 345 (169,262)

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fractional Brownian motion, transaction costs, high frequency, trading

15.

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, Paolo Guasoni and Miklos Rasonyi
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and University of Edinburgh - School of Mathematics
Downloads 329 (178,130)
Citation 5

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Arbitrage, Bubbles, Transaction Costs, Local Martingales

16.

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, Paolo Guasoni, Emmanuel Lepinette and Miklos Rasonyi
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Université Paris-Dauphine - CEREMADE, CNRS and University of Edinburgh - School of Mathematics
Downloads 314 (187,087)
Citation 2

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

17.

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, Paolo Guasoni and Scott Robertson
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and Questrom School of Business, Boston University
Downloads 314 (187,087)
Citation 4

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Long Run, Portfolio Choice, Derivatives Pricing, Incomplete Markets

18.

Investing with Liquid and Illiquid Assets

Number of pages: 32 Posted: 14 Nov 2014 Last Revised: 08 Apr 2016
Maxim Bichuch, Paolo Guasoni and Paolo Guasoni
State University of New York (SUNY) - Buffalo and Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences
Downloads 309 (190,340)

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

19.

Performance Maximization of Actively Managed Funds

Downloads 304 (193,695)
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, Paolo Guasoni, Gur Huberman and Zhenyu Wang
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Columbia University - Columbia Business School, Finance and Indiana University, Kelley School of Business
Downloads 219 (267,322)
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, Paolo Guasoni, Gur Huberman and Zhenyu Wang
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Columbia University - Columbia Business School, Finance and University of Texas at Austin - Department of Finance
Downloads 82 (584,283)

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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, Paolo Guasoni, Gur Huberman and Zhenyu Wang
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Columbia University - Columbia Business School, Finance and Indiana University, Kelley School of Business
Downloads 3 (1,220,230)
Citation 1
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alpha, hedge funds, mutual funds, options, portfolio management

20.

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 275 (215,001)
Citation 6

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price impact, long-run, portfolio choice, liquidity

21.

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 270 (218,959)

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

22.

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 268 (220,592)

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equilibrium, incomplete markets, heterogeneous preferences, continuous time

23.

Lightning Network Economics: Topology

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 23-6
Number of pages: 19 Posted: 09 May 2023 Last Revised: 19 Sep 2023
Paolo Guasoni, Paolo Guasoni, Gur Huberman and Clara Shikhelman
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Columbia University - Columbia Business School, Finance and Chaincode Labs
Downloads 265 (223,063)

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payments, lightning network, channels, topology, cost minimization.

24.

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, Paolo Guasoni and Miklos Rasonyi
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and University of Edinburgh - School of Mathematics
Downloads 262 (225,578)
Citation 8

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

25.

Asset Prices in Segmented and Integrated Markets

Downloads 236 (249,940)
Citation 2

Asset Prices in Segmented and Integrated Markets

Number of pages: 28 Posted: 19 Mar 2018
Paolo Guasoni, Paolo Guasoni and Kwok Chuen Wong
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and Dublin City University - School of Mathematical Sciences
Downloads 145 (385,909)

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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, Paolo Guasoni and Kwok Chuen Wong
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and Dublin City University - School of Mathematical Sciences
Downloads 91 (547,203)
Citation 1

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asset pricing, integration, financialization, equilibrium

26.

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, Paolo Guasoni and Gu Wang
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and Worcester Polytechnic Institute
Downloads 204 (286,652)
Citation 3

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

27.

Healthcare and Consumption with Aging

Number of pages: 40 Posted: 14 Jul 2016 Last Revised: 23 Sep 2016
Paolo Guasoni, Paolo Guasoni and Yu-Jui Huang
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and University of Colorado at Boulder - Department of Applied Mathematics
Downloads 200 (291,917)

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healthcare, consumption, aging, mortality, Gompertz law

28.

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, Paolo Guasoni and Johannes Muhle-Karbe
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and Imperial College London - Department of Mathematics
Downloads 196 (297,275)
Citation 2

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

29.

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, Paolo Guasoni, Antonella Tolomeo and Gu Wang
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, University of Torino and Worcester Polytechnic Institute
Downloads 188 (308,721)
Citation 2

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

30.

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, Paolo Guasoni and Gu Wang
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and Worcester Polytechnic Institute
Downloads 182 (317,761)

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optimal taxation, principal-agent, heterogeneous skill

31.

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, Paolo Guasoni, Yu-Jui Huang and Saeed Khalili
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, University of Colorado at Boulder - Department of Applied Mathematics and University of Colorado at Boulder
Downloads 175 (329,204)

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student loans, repayment, valuation, loan forgiveness

32.

Young, Timid, and Risk Takers

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 21-11
Number of pages: 21 Posted: 18 Feb 2021 Last Revised: 13 Oct 2021
Paolo Guasoni, Paolo Guasoni, Miklos Rasonyi and Lóránt Nagy
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics and Central European University (CEU)
Downloads 155 (365,127)

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

33.

The Learning Premium

Number of pages: 27 Posted: 02 May 2018
Maxim Bichuch, Paolo Guasoni and Paolo Guasoni
State University of New York (SUNY) - Buffalo and Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences
Downloads 149 (377,156)

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Equilibrium, Asset Pricing, Filtering, Learning

34.

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, Paolo Guasoni, Scott Robertson, Hao Xing and Constantinos Kardaras
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Questrom School of Business, Boston University, Boston University - Questrom School of Business and Carnegie Mellon University
Downloads 136 (405,319)
Citation 4

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

35.

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 131 (417,473)

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equilibrium, rational expectations, heterogeneous information, welfare

36.

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, Paolo Guasoni, Johannes Muhle-Karbe and Hao Xing
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Imperial College London - Department of Mathematics and Boston University - Questrom School of Business
Downloads 130 (419,936)

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long run, portfolio choice, incentives, executive compensation

37.

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, Paolo Guasoni and Andrea Meireles-Rodrigues
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and University of York - Department of Mathematics
Downloads 127 (427,384)
Citation 1

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

38.

Consumption and Investment with Interest Rate Risk

Number of pages: 26 Posted: 08 Feb 2017 Last Revised: 22 Jul 2018
Paolo Guasoni, Paolo Guasoni and Gu Wang
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and Worcester Polytechnic Institute
Downloads 113 (466,910)
Citation 1

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

39.

Reference Dependence and Market Participation

Number of pages: 26 Posted: 14 Aug 2017
Paolo Guasoni, Paolo Guasoni and Andrea Meireles-Rodrigues
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and University of York - Department of Mathematics
Downloads 109 (479,346)
Citation 6

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

40.

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, Paolo Guasoni and Scott Robertson
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and Questrom School of Business, Boston University
Downloads 105 (492,449)

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fund separation, long horizon, portfolio choice