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

  • Boston University - Department of Mathematics and Statistics

  • Dublin City University - School of Mathematical Sciences

SCHOLARLY PAPERS

36

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SSRN CITATIONS
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13

CROSSREF CITATIONS

106

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

  • Boston University - Department of Mathematics and Statistics

  • Dublin City University - School of Mathematical Sciences

Scholarly Papers (36)

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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 512 (54,316)
Citation 1

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

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 and Marko Weber
Boston University - Department of Mathematics and Statistics and National University of Singapore (NUS) - Department of Mathematics
Downloads 502 (55,705)
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
Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe and Walter Schachermayer
Vienna University of Technology, Boston University - Department of Mathematics and Statistics, Imperial College London - Department of Mathematics and Universität Wien, Fakultät für Mathematik
Downloads 406 (72,306)
Citation 5

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

4.

The Limits of Leverage

Downloads 366 ( 81,528)
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 366 (80,844)
Citation 3

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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

5.

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 353 (94,734)

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fractional Brownian motion, transaction costs, price impact, trading

6.

Options Portfolio Selection

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-9
Number of pages: 23 Posted: 28 Nov 2017 Last Revised: 19 Sep 2018
Paolo Guasoni and Eberhard Mayerhofer
Boston University - Department of Mathematics and Statistics and University of Limerick - Department of Mathematics and Statistics
Downloads 321 (94,530)

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

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 316 (96,199)
Citation 7

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price-impact, square-root law, trading volume

8.

Shortfall Aversion

Downloads 314 ( 96,881)
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 239 (128,667)

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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 75 (323,431)

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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.

Who Should Sell Stocks?

Downloads 312 ( 97,603)

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 311 (97,376)

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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 (690,614)
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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 292 (104,856)
Citation 6

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Arbitrage, Bubbles, Transaction Costs, Local Martingales

11.

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 and Scott Robertson
Boston University - Department of Mathematics and Statistics and Questrom School of Business, Boston University
Downloads 272 (113,061)

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Long Run, Portfolio Choice, Derivatives Pricing, Incomplete Markets

12.

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 267 (115,291)

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

13.

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 264 (116,672)
Citation 1

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portfolio choice, consumption, incomplete markets, power utility

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 256 (120,440)

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

15.

Investing with Liquid and Illiquid Assets

Downloads 245 (126,010)
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 243 (126,540)

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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 (676,592)
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portfolio choice, transaction costs, hedging

16.

Performance Maximization of Actively Managed Funds

Downloads 242 (127,591)
Citation 5

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 173 (174,933)
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 (347,462)

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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 (665,645)
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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 222 (138,893)
Citation 3

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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 199 (154,072)
Citation 4

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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 172 (175,775)
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 170 (177,570)

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healthcare, consumption, aging, mortality, Gompertz law

21.

Long Horizons, High Risk-Aversion, and Endogenous Spreads

Downloads 168 (179,409)
Citation 9

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 (179,522)
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
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transaction costs, long‐run portfolio choice, exponential utility, trading volume

22.

Asset Prices in Segmented and Integrated Markets

Downloads 135 (215,007)
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 93 (282,799)

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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 42 (429,509)
Citation 1

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asset pricing, integration, financialization, equilibrium

23.

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 125 (228,327)

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

24.

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, Scott Robertson, Hao Xing and Constantinos Kardaras
Boston University - Department of Mathematics and Statistics, Questrom School of Business, Boston University, London School of Economics & Political Science (LSE) and Carnegie Mellon University
Downloads 102 (264,216)
Citation 3

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

25.

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 95 (276,914)

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Equilibrium, Asset Pricing, Filtering, Learning

26.

Robust Portfolios and Weak Incentives in Long Run Investments

Downloads 87 (292,871)

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 London School of Economics & Political Science (LSE)
Downloads 87 (295,333)

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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 London School of Economics & Political Science (LSE)
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long run, portfolio choice, incentives, executive compensation

27.

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 75 (320,054)

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fractional Brownian motion, transaction costs, high frequency, trading

28.

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 75 (320,054)
Citation 1

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

29.

Static Fund Separation of Long Term Investments

Downloads 73 (324,971)

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 73 (328,503)

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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
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portfolio choice, fund separation, long horizon

30.

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 70 (332,634)
Citation 1

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

31.

Sharing Profits in the Sharing Economy

Number of pages: 21 Posted: 07 Nov 2018
Paolo Guasoni and Gu Wang
Boston University - Department of Mathematics and Statistics and Worcester Polytechnic Institute
Downloads 67 (340,558)

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optimal taxation, principal-agent, heterogeneous skill

32.

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 (503,986)
Citation 1
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33.

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 (645,212)
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utility maximization, asymptotic elasticity, integral representation

34.

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 (674,278)
Citation 1
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hedge funds, high‐water marks, performance fees, portfolio choice, incentives, risk‐shifting, competitive equilibrium, manager's participation

35.

Mean-Variance Hedging for Stochastic Volatility Models

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

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36.

Dynamic Information Aggregation and Welfare

Number of pages: 20
Luca Bernardinelli, Paolo Guasoni and Eberhard Mayerhofer
affiliation not provided to SSRN, Boston University - Department of Mathematics and Statistics and University of Limerick - Department of Mathematics and Statistics
Downloads 0

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equilibrium, rational expectations, heterogeneous information, welfare