Author Page for Paolo Guasoni

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:

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 547 (70,079)

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

Downloads 1 (912,686)

Citation 3

Abstract:

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:

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)

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 487 (81,715)

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 428 (95,136)

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 406 (101,158)

Citation 9

Abstract:

8.

The Limits of Leverage

Downloads 390 (105,954)

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 390 (105,093)

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

Downloads 0

Abstract:

9.

Shortfall Aversion

Downloads 349 (119,978)

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 University - Columbia Business School, Finance and University of Dayton

Downloads 264 (159,973)

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 University - Columbia Business School, Finance and University of Dayton

Downloads 85 (400,375)

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 University - Columbia Business School, Finance and University of Dayton

Downloads 0

Citation 3

Add to Cart

Abstract:

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

Abstract:

11.

Who Should Sell Stocks?

Downloads 335 (125,485)

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 334 (125,140)

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

Downloads 1 (912,686)

Abstract:

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:

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

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 295 (143,400)

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 287 (147,617)

Citation 4

Abstract:

16.

Investing with Liquid and Illiquid Assets

Downloads 267 (158,744)

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 264 (159,973)

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

Downloads 3 (882,557)

Citation 1

Abstract:

17.

Performance Maximization of Actively Managed Funds

Downloads 256 (165,607)

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

Downloads 186 (222,936)

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 University - Columbia Business School, Finance and University of Texas at Austin - Department of Finance

Downloads 67 (458,569)

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

Downloads 3 (882,557)

Citation 1

Add to Cart

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 252 (168,211)

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 251 (168,855)

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 235 (179,864)

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 229 (184,319)

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 183 (226,154)

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 181 (228,281)

Abstract:

24.

Long Horizons, High Risk-Aversion, and Endogenous Spreads

Downloads 173 (237,260)

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 173 (237,487)

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

Downloads 0

Citation 2

Abstract:

25.

Asset Prices in Segmented and Integrated Markets

Downloads 164 (248,163)

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 118 (321,996)

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 46 (547,217)

Citation 1

Abstract:

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)

Abstract:

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

Abstract:

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)

Abstract:

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)

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 110 (336,441)

Citation 4

Abstract:

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)

Abstract:

32.

Robust Portfolios and Weak Incentives in Long Run Investments

Downloads 97 (365,600)

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 97 (368,455)

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

Downloads 0

Abstract:

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)

Abstract:

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

Abstract:

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

Abstract:

36.

Static Fund Separation of Long Term Investments

Downloads 80 (410,898)

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 80 (415,201)

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

Downloads 0

Abstract:

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)

Abstract:

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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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)

Abstract:

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

Abstract:

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

Paolo Guasoni

Boston University - Department of Mathematics and Statistics

Dublin City University - School of Mathematical Sciences

University of Bologna - Department of Statistics

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Scholarly Papers (42)

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Shortfall Aversion

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Performance Maximization of Actively Managed Funds

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