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

SCHOLARLY PAPERS

42

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9,894

SSRN CITATIONS
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62

CROSSREF CITATIONS

109

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

Scholarly Papers (42)

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: 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 University - Columbia Business School, Finance and Chaincode Labs
Downloads 741 (47,973)
Citation 1

Abstract:

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lightning network, bitcoin, cryptocurrencies, payment systems

2.
Downloads 548 ( 70,703)
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 547 (70,079)
Citation 4

Abstract:

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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 and Paolo Guasoni
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences
Downloads 1 (912,686)
Citation 3

Abstract:

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trading volume, long‐run, portfolio choice, liquidity

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 545 (71,185)
Citation 4

Abstract:

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

4.

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 530 (94,734)

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fractional Brownian motion, transaction costs, price impact, trading

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 487 (81,715)

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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 428 (95,136)
Citation 8

Abstract:

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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 406 (101,158)
Citation 9

Abstract:

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price-impact, square-root law, trading volume

8.
Downloads 390 (105,954)
Citation 3

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 390 (105,093)
Citation 4

Abstract:

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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, 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 0

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leverage, portfolio choice, transaction costs

9.
Downloads 349 (119,978)
Citation 4

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 264 (159,973)

Abstract:

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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 85 (400,375)
Citation 1

Abstract:

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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
Downloads 0
Citation 3
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consumption, endowments, loss aversion, portfolio choice

10.

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 345 (121,465)
Citation 1

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

11.
Downloads 335 (125,485)

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 334 (125,140)

Abstract:

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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, 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
Downloads 1 (912,686)

Abstract:

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dividends, long‐run, portfolio choice, transaction costs, 91G10, 91G80

12.

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 309 (136,570)
Citation 1

Abstract:

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portfolio choice, consumption, incomplete markets, power utility

13.

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 307 (137,588)
Citation 5

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Arbitrage, Bubbles, Transaction Costs, Local Martingales

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 295 (143,400)
Citation 2

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

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 287 (147,617)
Citation 4

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Long Run, Portfolio Choice, Derivatives Pricing, Incomplete Markets

16.
Downloads 267 (158,744)
Citation 5

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 264 (159,973)

Abstract:

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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, Paolo Guasoni and Paolo Guasoni
Johns Hopkins University and Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences
Downloads 3 (882,557)
Citation 1

Abstract:

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portfolio choice, transaction costs, hedging

17.
Downloads 256 (165,607)
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 186 (222,936)
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 67 (458,569)

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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 (882,557)
Citation 1
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alpha, hedge funds, mutual funds, options, portfolio management

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 252 (168,211)

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

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 251 (168,855)

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fractional Brownian motion, transaction costs, high frequency, trading

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 235 (179,864)
Citation 6

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

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 229 (184,319)
Citation 6

Abstract:

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price impact, long-run, portfolio choice, liquidity

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 183 (226,154)
Citation 3

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

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 181 (228,281)

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healthcare, consumption, aging, mortality, Gompertz law

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 173 (237,487)
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, 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 0
Citation 2

Abstract:

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

25.
Downloads 164 (248,163)
Citation 1

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 118 (321,996)

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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 46 (547,217)
Citation 1

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asset pricing, integration, financialization, equilibrium

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, Paolo Guasoni and Gu Wang
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and Worcester Polytechnic Institute
Downloads 147 (271,494)

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optimal taxation, principal-agent, heterogeneous skill

27.

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 147 (271,494)
Citation 2

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

28.

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 137 (286,817)

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student loans, repayment, valuation, loan forgiveness

29.

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 123 (310,933)

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Equilibrium, Asset Pricing, Filtering, Learning

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 110 (336,441)
Citation 4

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

31.

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 101 (356,218)

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equilibrium, incomplete markets, heterogeneous preferences, continuous time

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 97 (368,455)

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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, 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
Downloads 0

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long run, portfolio choice, incentives, executive compensation

33.

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 96 (367,994)

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

34.

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 90 (383,007)
Citation 4

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

35.

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 90 (383,007)
Citation 1

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

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 80 (415,201)

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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, 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 0

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portfolio choice, fund separation, long horizon

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 76 (423,045)

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

38.

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 75 (426,133)

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equilibrium, rational expectations, heterogeneous information, welfare

39.

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
Downloads 29 (628,883)
Citation 3

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40.

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
Downloads 3 (847,169)

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utility maximization, asymptotic elasticity, integral representation

41.

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
Downloads 0 (890,735)
Citation 1

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hedge funds, high‐water marks, performance fees, portfolio choice, incentives, risk‐shifting, competitive equilibrium, manager's participation

42.

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

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