Author Page for Paolo Guasoni

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 537 (65,203)

Citation 4

Abstract:

2.

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 535 (64,783)

Citation 4

Abstract:

Dynamic Trading Volume

Mathematical Finance, Vol. 27, Issue 2, pp. 313-349, 2017

Number of pages: 37 Posted: 28 May 2020

Paolo Guasoni and Paolo Guasoni

Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences

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Citation 3

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Abstract:

3.

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 490 (94,734)

Abstract:

4.

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: 21 Posted: 06 May 2021 Last Revised: 13 Sep 2021

Paolo Guasoni, Paolo Guasoni, Gur Huberman and Clara Shikhelman

Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Columbia Business School - Finance and Economics and Chaincode Labs

Downloads 459 (79,126)

Citation 1

Abstract:

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 454 (80,146)

Abstract:

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 423 (87,114)

Citation 8

Abstract:

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 388 (96,256)

Citation 9

Abstract:

8.

The Limits of Leverage

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Citation 3

2

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 377 (98,680)

Citation 4

Abstract:

The Limits of Leverage

Mathematical Finance, Vol. 29, Issue 1, pp. 249-284, 2019

Number of pages: 36 Posted: 11 Jan 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

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Abstract:

9.

Shortfall Aversion

Downloads 346 (109,503)

Citation 4

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, Paolo Guasoni, Gur Huberman and Dan Ren

Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Columbia Business School - Finance and Economics and University of Dayton

Downloads 263 (145,970)

Abstract:

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 Business School - Finance and Economics and University of Dayton

Downloads 83 (372,611)

Citation 1

Abstract:

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 Business School - Finance and Economics and University of Dayton

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Citation 3

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Abstract:

10.

Who Should Sell Stocks?

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2

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 329 (115,112)

Abstract:

Who Should Sell Stocks?

Mathematical Finance, Vol. 29, Issue 2, pp. 448-482, 2019

Number of pages: 35 Posted: 13 Mar 2019

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 University of Michigan at Ann Arbor

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Abstract:

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, 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 302 (126,960)

Citation 5

Abstract:

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, 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 301 (127,403)

Citation 1

Abstract:

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 301 (127,403)

Citation 1

Abstract:

14.

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 289 (133,052)

Citation 2

Abstract:

15.

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 282 (136,421)

Citation 4

Abstract:

16.

Investing with Liquid and Illiquid Assets

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Citation 5

2

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

Johns Hopkins University and Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences

Downloads 260 (147,662)

Abstract:

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, Paolo Guasoni and Paolo Guasoni

Johns Hopkins University and Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences

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Citation 1

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17.

Performance Maximization of Actively Managed Funds

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Citation 6

3

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 Business School - Finance and Economics and Indiana University, Kelley School of Business

Downloads 180 (209,232)

Citation 3

Abstract:

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 Business School - Finance and Economics and University of Texas at Austin - Department of Finance

Downloads 66 (424,957)

Abstract:

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 Business School - Finance and Economics and Indiana University, Kelley School of Business

Downloads 3 (804,251)

Citation 1

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Abstract:

18.

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 237 (162,350)

Abstract:

19.

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 233 (164,996)

Abstract:

20.

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 232 (165,692)

Citation 6

Abstract:

21.

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 221 (173,580)

Citation 6

Abstract:

22.

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 180 (209,208)

Citation 3

Abstract:

23.

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 177 (212,290)

Abstract:

24.

Long Horizons, High Risk-Aversion, and Endogenous Spreads

Downloads 171 (218,733)

Citation 11

2

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 171 (218,925)

Citation 1

Abstract:

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, 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

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Abstract:

25.

Asset Prices in Segmented and Integrated Markets

Downloads 160 (231,324)

Citation 1

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 116 (298,234)

Abstract:

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 44 (513,882)

Citation 1

Abstract:

26.

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 142 (255,082)

Citation 2

Abstract:

27.

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 136 (263,957)

Abstract:

28.

The Learning Premium

Number of pages: 27 Posted: 02 May 2018

Maxim Bichuch, Paolo Guasoni and Paolo Guasoni

Johns Hopkins University and Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences

Downloads 122 (286,388)

Abstract:

29.

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 Boulder

Downloads 114 (300,429)

Abstract:

30.

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 108 (312,000)

Citation 4

Abstract:

31.

Robust Portfolios and Weak Incentives in Long Run Investments

Downloads 91 (348,850)

2

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 91 (351,728)

Abstract:

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, Paolo Guasoni, Johannes Muhle‐Karbe and Hao Xing

Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, University of Michigan at Ann Arbor and Boston University - Questrom School of Business

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32.

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 88 (356,189)

Citation 1

Abstract:

33.

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 83 (369,108)

Citation 4

Abstract:

34.

Static Fund Separation of Long Term Investments

Downloads 79 (379,988)

2

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 79 (383,856)

Abstract:

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, 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

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Abstract:

35.

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 72 (400,374)

Abstract:

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, 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 60 (440,114)

Abstract:

37.

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 58 (447,381)

Abstract:

38.

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 and Paolo Guasoni

Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences

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Abstract:

39.

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, Paolo Guasoni and Paolo Guasoni

LUISS University and Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences

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Abstract:

40.

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, Paolo Guasoni and Jan Obłój

Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and University of Oxford

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Citation 1

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Abstract:

41.

Mean-Variance Hedging for Stochastic Volatility Models

Posted: 14 Jun 2003

Francesca Biagini, Paolo Guasoni, Paolo Guasoni and Maurizio Pratelli

University of Bologna - Department of Mathematics, Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and University of Pisa - Department of Mathematics

Paolo Guasoni

Dublin City University - School of Mathematical Sciences

Boston University - Department of Mathematics and Statistics

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Scholarly Papers (41)

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Dynamic Trading Volume

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The Limits of Leverage

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Shortfall Aversion

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Who Should Sell Stocks?

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Investing with Liquid and Illiquid Assets

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Performance Maximization of Actively Managed Funds

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Long Horizons, High Risk Aversion, and Endogenous Spreads

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Robust Portfolios and Weak Incentives in Long‐Run Investments

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Static Fund Separation of Long‐Term Investments

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

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Relaxed Utility Maximization in Complete Markets

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The Incentives of Hedge Fund Fees and High‐Water Marks

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