Author Page for Paolo Guasoni

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

Abstract:

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)

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 and Eberhard Mayerhofer

Boston University - Department of Mathematics and Statistics and University of Limerick - Department of Mathematics and Statistics

Downloads 395 (80,681)

Abstract:

6.

The Limits of Leverage

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Citation 3

2

The Limits of Leverage

Number of pages: 32 Posted: 07 Jun 2014 Last Revised: 11 Sep 2016

Paolo Guasoni 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

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 and Eberhard Mayerhofer

Boston University - Department of Mathematics and Statistics and University of Limerick - Department of Mathematics and Statistics

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Abstract:

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

Abstract:

8.

Shortfall Aversion

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Citation 1

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, 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

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, 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)

Abstract:

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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Abstract:

9.

Who Should Sell Stocks?

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2

Who Should Sell Stocks?

Number of pages: 34 Posted: 07 Sep 2014 Last Revised: 02 Nov 2017

Paolo Guasoni, 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)

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, Ren Liu and Johannes Muhle‐Karbe

Boston University - Department of Mathematics and Statistics, ETH Zürich and University of Michigan at Ann Arbor

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Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

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)

Abstract:

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)

Abstract:

15.

Investing with Liquid and Illiquid Assets

Downloads 255 (130,572)

Citation 4

2

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)

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 and Paolo Guasoni

Johns Hopkins University and Boston University - Department of Mathematics and Statistics

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Abstract:

16.

Performance Maximization of Actively Managed Funds

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Citation 6

3

Performance Maximization of Actively Managed Funds

FRB of New York Staff Report No. 427

Number of pages: 45 Posted: 21 Jan 2010

Paolo Guasoni, 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

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, 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)

Abstract:

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

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Citation 1

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Abstract:

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

Abstract:

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:

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

Abstract:

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)

Abstract:

21.

Long Horizons, High Risk-Aversion, and Endogenous Spreads

Downloads 168 (192,774)

Citation 10

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 and Johannes Muhle-Karbe

Boston University - Department of Mathematics and Statistics and Imperial College London - Department of Mathematics

Downloads 168 (192,882)

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 and Johannes Muhle-Karbe

Boston University - Department of Mathematics and Statistics and Imperial College London - Department of Mathematics

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Citation 1

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Abstract:

22.

Asset Prices in Segmented and Integrated Markets

Downloads 144 (219,290)

Citation 1

2

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)

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 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

Abstract:

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)

Abstract:

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

Abstract:

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

Paolo Guasoni, Scott Robertson, Hao Xing and Constantinos Kardaras

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

Abstract:

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)

Abstract:

27.

Sharing Profits in the Sharing Economy

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-3

Number of pages: 22 Posted: 07 Nov 2018 Last Revised: 02 Mar 2020

Paolo Guasoni and Gu Wang

Boston University - Department of Mathematics and Statistics and Worcester Polytechnic Institute

Downloads 91 (304,890)

Abstract:

28.

Robust Portfolios and Weak Incentives in Long Run Investments

Downloads 88 (311,453)

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, 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)

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, 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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Abstract:

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

Abstract:

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

Abstract:

31.

Static Fund Separation of Long Term Investments

Downloads 74 (345,275)

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 and Scott Robertson

Boston University - Department of Mathematics and Statistics and Questrom School of Business, Boston University

Downloads 74 (349,000)

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 and Scott Robertson

Boston University - Department of Mathematics and Statistics and Questrom School of Business, Boston University

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Abstract:

32.

Dynamic Information Aggregation and Welfare

Number of pages: 20 Posted: 01 Nov 2019

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 40 (458,456)

Abstract:

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

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Citation 2

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Abstract:

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

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Abstract:

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

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Citation 1

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Abstract:

36.

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

Paolo Guasoni

Boston University - Department of Mathematics and Statistics

Dublin City University - School of Mathematical Sciences

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Scholarly Papers (36)

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Dynamic Trading Volume

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The Limits of Leverage

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Shortfall Aversion

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Who Should Sell Stocks?

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Investing with Liquid and Illiquid Assets

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Performance Maximization of Actively Managed Funds

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Long Horizons, High Risk Aversion, and Endogenous Spreads

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Robust Portfolios and Weak Incentives in Long‐Run Investments

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Static Fund Separation of Long‐Term Investments

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

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Relaxed Utility Maximization in Complete Markets

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The Incentives of Hedge Fund Fees and High‐Water Marks

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