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

SCHOLARLY PAPERS

36

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7,544

SSRN CITATIONS
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39

CROSSREF CITATIONS

106

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

Scholarly Papers (36)

1.

Portfolio Choice with Transaction Costs: A User's Guide

Boston U. School of Management Research Paper No. 2012-22
Number of pages: 26 Posted: 01 Aug 2012 Last Revised: 21 Aug 2012
Paolo Guasoni and Johannes Muhle-Karbe
Boston University - Department of Mathematics and Statistics and Imperial College London - Department of Mathematics
Downloads 521 (57,644)
Citation 1

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

2.
Downloads 512 ( 58,915)
Citation 6

Dynamic Trading Volume

Boston U. School of Management Research Paper No. 2012-28
Number of pages: 36 Posted: 03 Oct 2012 Last Revised: 13 Dec 2014
Paolo Guasoni and Marko Weber
Boston University - Department of Mathematics and Statistics and National University of Singapore (NUS) - Department of Mathematics
Downloads 512 (58,257)
Citation 5

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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
Boston University - Department of Mathematics and Statistics
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Citation 1
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trading volume, long‐run, portfolio choice, liquidity

3.

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
Vienna University of Technology, Boston University - Department of Mathematics and Statistics, Imperial College London - Department of Mathematics and Universität Wien, Fakultät für Mathematik
Downloads 408 (77,735)
Citation 7

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

4.

Trading Fractional Brownian Motion

Number of pages: 21 Posted: 22 Jun 2017 Last Revised: 22 May 2019
Paolo Guasoni, Zsolt Nika and Miklos Rasonyi
Boston University - Department of Mathematics and Statistics, Peter Pazmany Catholic University and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics
Downloads 401 (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 and Eberhard Mayerhofer
Boston University - Department of Mathematics and Statistics and University of Limerick - Department of Mathematics and Statistics
Downloads 395 (80,681)

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

6.
Downloads 368 ( 87,652)
Citation 3

The Limits of Leverage

Number of pages: 32 Posted: 07 Jun 2014 Last Revised: 11 Sep 2016
Paolo Guasoni and Eberhard Mayerhofer
Boston University - Department of Mathematics and Statistics and University of Limerick - Department of Mathematics and Statistics
Downloads 368 (86,954)
Citation 4

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leverage, transaction costs, portfolio choice, performance evaluation

The Limits of Leverage

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

7.

Nonlinear Price Impact and Portfolio Choice

Number of pages: 31 Posted: 02 Jun 2015 Last Revised: 16 May 2018
Paolo Guasoni and Marko Weber
Boston University - Department of Mathematics and Statistics and National University of Singapore (NUS) - Department of Mathematics
Downloads 348 (93,410)
Citation 6

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price-impact, square-root law, trading volume

8.
Downloads 329 ( 99,442)
Citation 1

Shortfall Aversion

Columbia Law and Economics Working Paper No. 483
Number of pages: 43 Posted: 20 Jun 2014 Last Revised: 28 Sep 2017
Paolo Guasoni, Gur Huberman and Dan Ren
Boston University - Department of Mathematics and Statistics, Columbia Business School - Finance and Economics and University of Dayton
Downloads 251 (132,092)
Citation 1

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loss aversion, portfolio choice, consumption, endowments

Shortfall Aversion

Columbia Business School Research Paper No. 15-22
Number of pages: 43 Posted: 15 Feb 2015 Last Revised: 28 Sep 2017
Paolo Guasoni, Gur Huberman and Dan Ren
Boston University - Department of Mathematics and Statistics, Columbia Business School - Finance and Economics and University of Dayton
Downloads 78 (338,329)

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loss aversion, portfolio choice, consumption, endowments

Shortfall Aversion

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

9.
Downloads 318 (103,333)

Who Should Sell Stocks?

Number of pages: 34 Posted: 07 Sep 2014 Last Revised: 02 Nov 2017
Paolo Guasoni, Ren Liu and Johannes Muhle-Karbe
Boston University - Department of Mathematics and Statistics, ETH Zürich and Imperial College London - Department of Mathematics
Downloads 317 (103,072)

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transaction costs, dividends, long-run, portfolio choice

Who Should Sell Stocks?

Mathematical Finance, Vol. 29, Issue 2, pp. 448-482, 2019
Number of pages: 35 Posted: 13 Mar 2019
Paolo Guasoni, Ren Liu and Johannes Muhle‐Karbe
Boston University - Department of Mathematics and Statistics, ETH Zürich and University of Michigan at Ann Arbor
Downloads 1 (736,721)
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dividends, long‐run, portfolio choice, transaction costs, 91G10, 91G80

10.

Fragility of Local Martingale Diffusion Models of Arbitrage and Bubbles

Boston U. School of Management Research Paper No. 2011-12
Number of pages: 17 Posted: 01 Jun 2011 Last Revised: 03 Feb 2014
Paolo Guasoni and Miklos Rasonyi
Boston University - Department of Mathematics and Statistics and University of Edinburgh - School of Mathematics
Downloads 297 (111,263)
Citation 6

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Arbitrage, Bubbles, Transaction Costs, Local Martingales

11.

Consumption in Incomplete Markets

Number of pages: 30 Posted: 20 Mar 2014 Last Revised: 17 Jun 2018
Paolo Guasoni and Gu Wang
Boston University - Department of Mathematics and Statistics and Worcester Polytechnic Institute
Downloads 290 (114,101)
Citation 1

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portfolio choice, consumption, incomplete markets, power utility

12.

Portfolios and Risk Premia for the Long Run

Annals of Applied Probability, Forthcoming
Number of pages: 38 Posted: 18 Mar 2011 Last Revised: 19 Jan 2012
Paolo Guasoni and Scott Robertson
Boston University - Department of Mathematics and Statistics and Questrom School of Business, Boston University
Downloads 276 (120,232)
Citation 3

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Long Run, Portfolio Choice, Derivatives Pricing, Incomplete Markets

13.

The Fundamental Theorem of Asset Pricing Under Transaction Costs

Boston U. School of Management Research Paper No. 2011-7
Number of pages: 35 Posted: 23 Mar 2011 Last Revised: 15 Apr 2012
Paolo Guasoni, Emmanuel Lepinette and Miklos Rasonyi
Boston University - Department of Mathematics and Statistics, Université Paris-Dauphine - CEREMADE, CNRS and University of Edinburgh - School of Mathematics
Downloads 275 (120,691)

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

14.

Leveraged Funds: Robust Replication and Performance Evaluation

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-1
Number of pages: 32 Posted: 19 Sep 2016 Last Revised: 21 Feb 2019
Paolo Guasoni and Eberhard Mayerhofer
Boston University - Department of Mathematics and Statistics and University of Limerick - Department of Mathematics and Statistics
Downloads 266 (124,923)

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

15.
Downloads 255 (130,572)
Citation 4

Investing with Liquid and Illiquid Assets

Number of pages: 32 Posted: 14 Nov 2014 Last Revised: 08 Apr 2016
Maxim Bichuch and Paolo Guasoni
Johns Hopkins University and Boston University - Department of Mathematics and Statistics
Downloads 253 (131,069)

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

Investing with Liquid and Illiquid Assets

Mathematical Finance, Vol. 28, Issue 1, pp. 119-152, 2018
Number of pages: 34 Posted: 17 Jan 2018
Maxim Bichuch and Paolo Guasoni
Johns Hopkins University and Boston University - Department of Mathematics and Statistics
Downloads 2 (722,485)
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portfolio choice, transaction costs, hedging

16.
Downloads 243 (137,018)
Citation 6

Performance Maximization of Actively Managed Funds

FRB of New York Staff Report No. 427
Number of pages: 45 Posted: 21 Jan 2010
Paolo Guasoni, Gur Huberman and Zhenyu Wang
Boston University - Department of Mathematics and Statistics, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 174 (187,027)
Citation 3

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

Performance Maximization of Actively Managed Funds

Journal of Finanical Economics, Vol. 101, No. 3. pp. 574-595, September 2011
Number of pages: 51 Posted: 22 Oct 2011
Paolo Guasoni, Gur Huberman and Zhenyu Wang
Boston University - Department of Mathematics and Statistics, Columbia Business School - Finance and Economics and University of Texas at Austin - Department of Finance
Downloads 66 (371,910)

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Performance Maximization of Actively Managed Funds

CEPR Discussion Paper No. DP7676
Number of pages: 47 Posted: 10 Feb 2010
Paolo Guasoni, Gur Huberman and Zhenyu Wang
Boston University - Department of Mathematics and Statistics, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Downloads 3 (711,247)
Citation 1
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alpha, hedge funds, mutual funds, options, portfolio management

17.

Hedging, Arbitrage, and Optimality with Superlinear Frictions

Boston U. School of Management Research Paper No. 2013-8
Number of pages: 23 Posted: 28 Aug 2013 Last Revised: 09 Oct 2013
Paolo Guasoni and Miklos Rasonyi
Boston University - Department of Mathematics and Statistics and University of Edinburgh - School of Mathematics
Downloads 225 (147,720)
Citation 5

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

18.

Rebalancing Multiple Assets with Mutual Price Impact

Number of pages: 24 Posted: 15 Feb 2015 Last Revised: 22 Dec 2016
Paolo Guasoni and Marko Weber
Boston University - Department of Mathematics and Statistics and National University of Singapore (NUS) - Department of Mathematics
Downloads 205 (161,248)
Citation 5

Abstract:

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price impact, long-run, portfolio choice, liquidity

19.

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

Number of pages: 34 Posted: 23 Aug 2012 Last Revised: 26 Oct 2014
Paolo Guasoni and Gu Wang
Boston University - Department of Mathematics and Statistics and Worcester Polytechnic Institute
Downloads 175 (186,142)
Citation 2

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

20.

Healthcare and Consumption with Aging

Number of pages: 40 Posted: 14 Jul 2016 Last Revised: 23 Sep 2016
Paolo Guasoni and Yu-Jui Huang
Boston University - Department of Mathematics and Statistics and University of Colorado at Boulder - Department of Applied Mathematics
Downloads 173 (187,982)

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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 and Johannes Muhle-Karbe
Boston University - Department of Mathematics and Statistics and Imperial College London - Department of Mathematics
Downloads 168 (192,882)
Citation 1

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

Long Horizons, High Risk Aversion, and Endogenous Spreads

Mathematical Finance, Vol. 25, Issue 4, pp. 724-753, 2015
Number of pages: 30 Posted: 14 Sep 2015
Paolo Guasoni and Johannes Muhle-Karbe
Boston University - Department of Mathematics and Statistics and Imperial College London - Department of Mathematics
Downloads 0
Citation 1
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transaction costs, long‐run portfolio choice, exponential utility, trading volume

22.
Downloads 144 (219,290)
Citation 1

Asset Prices in Segmented and Integrated Markets

Number of pages: 28 Posted: 19 Mar 2018
Paolo Guasoni and Kwok Chuen Wong
Boston University - Department of Mathematics and Statistics and Dublin City University - School of Mathematical Sciences
Downloads 101 (287,031)

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asset pricing, integration, financialization, equilibrium

Asset Prices in Segmented and Integrated Markets

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-5
Number of pages: 29 Posted: 09 May 2018
Paolo Guasoni and Kwok Chuen Wong
Boston University - Department of Mathematics and Statistics and Dublin City University - School of Mathematical Sciences
Downloads 43 (454,878)
Citation 1

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asset pricing, integration, financialization, equilibrium

23.

High-Frequency Trading with Fractional Brownian Motion

Number of pages: 26 Posted: 16 Aug 2019
Paolo Guasoni, Yuliya Mishura and Miklos Rasonyi
Boston University - Department of Mathematics and Statistics, Taras Shevchenko National University of Kyiv and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics
Downloads 135 (230,836)

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fractional Brownian motion, transaction costs, high frequency, trading

24.

Should Commodity Investors Follow Commodities' Prices?

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-8
Number of pages: 27 Posted: 24 Jul 2018 Last Revised: 25 Sep 2019
Paolo Guasoni, Antonella Tolomeo and Gu Wang
Boston University - Department of Mathematics and Statistics, University of Torino and Worcester Polytechnic Institute
Downloads 131 (236,376)
Citation 1

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

25.

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
Boston University - Department of Mathematics and Statistics, Questrom School of Business, Boston University, Boston University - Questrom School of Business and Carnegie Mellon University
Downloads 105 (277,743)
Citation 3

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

26.

The Learning Premium

Number of pages: 27 Posted: 02 May 2018
Maxim Bichuch and Paolo Guasoni
Johns Hopkins University and Boston University - Department of Mathematics and Statistics
Downloads 102 (283,319)

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Equilibrium, Asset Pricing, Filtering, Learning

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 and Gu Wang
Boston University - Department of Mathematics and Statistics and Worcester Polytechnic Institute
Downloads 91 (304,890)

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optimal taxation, principal-agent, heterogeneous skill

Robust Portfolios and Weak Incentives in Long Run Investments

Boston U. School of Management Research Paper No. 2013-5
Number of pages: 35 Posted: 11 Jun 2013 Last Revised: 08 Oct 2013
Paolo Guasoni, Johannes Muhle-Karbe and Hao Xing
Boston University - Department of Mathematics and Statistics, Imperial College London - Department of Mathematics and Boston University - Questrom School of Business
Downloads 88 (314,016)

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long run, portfolio choice, incentives, executive compensation

Robust Portfolios and Weak Incentives in Long‐Run Investments

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

29.

Consumption and Investment with Interest Rate Risk

Number of pages: 26 Posted: 08 Feb 2017 Last Revised: 22 Jul 2018
Paolo Guasoni and Gu Wang
Boston University - Department of Mathematics and Statistics and Worcester Polytechnic Institute
Downloads 81 (327,627)
Citation 1

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

30.

Reference Dependence and Market Participation

Number of pages: 26 Posted: 14 Aug 2017
Paolo Guasoni and Andrea Meireles Rodrigues
Boston University - Department of Mathematics and Statistics and Dublin City University - School of Mathematical Sciences
Downloads 79 (332,418)
Citation 2

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

Static Fund Separation of Long Term Investments

Boston U. School of Management Research Paper, No. 2011-15
Number of pages: 38 Posted: 25 Jun 2011 Last Revised: 27 Mar 2012
Paolo Guasoni and Scott Robertson
Boston University - Department of Mathematics and Statistics and Questrom School of Business, Boston University
Downloads 74 (349,000)

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fund separation, long horizon, portfolio choice

Static Fund Separation of Long‐Term Investments

Mathematical Finance, Vol. 25, Issue 4, pp. 789-826, 2015
Number of pages: 38 Posted: 14 Sep 2015
Paolo Guasoni and Scott Robertson
Boston University - Department of Mathematics and Statistics and Questrom School of Business, Boston University
Downloads 0
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portfolio choice, fund separation, long horizon

32.

Dynamic Information Aggregation and Welfare

Number of pages: 20 Posted: 01 Nov 2019
affiliation not provided to SSRN, Boston University - Department of Mathematics and Statistics and University of Limerick - Department of Mathematics and Statistics
Downloads 40 (458,456)

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equilibrium, rational expectations, heterogeneous information, welfare

33.

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
Boston University - Department of Mathematics and Statistics
Downloads 24 (538,625)
Citation 2
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34.

Relaxed Utility Maximization in Complete Markets

Mathematical Finance, Vol. 21, Issue 4, pp. 703-722, 2011
Number of pages: 20 Posted: 23 Aug 2011
Sara Biagini and Paolo Guasoni
University of Pisa and Boston University - Department of Mathematics and Statistics
Downloads 2 (690,260)
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utility maximization, asymptotic elasticity, integral representation

35.

The Incentives of Hedge Fund Fees and High‐Water Marks

Mathematical Finance, Vol. 26, Issue 2, pp. 269-295, 2016
Number of pages: 27 Posted: 10 Mar 2016
Paolo Guasoni and Jan Obłój
Boston University - Department of Mathematics and Statistics and University of Oxford
Downloads 0 (720,946)
Citation 1
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hedge funds, high‐water marks, performance fees, portfolio choice, incentives, risk‐shifting, competitive equilibrium, manager's participation

36.

Mean-Variance Hedging for Stochastic Volatility Models

Mathematical Finance, Vol. 10, No. 2, April 2000
Posted: 14 Jun 2003
University of Bologna - Department of Mathematics, Boston University - Department of Mathematics and Statistics and University of Pisa - Department of Mathematics

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