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

26

DOWNLOADS
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5,065

CITATIONS
Rank 14,213

SSRN RANKINGS

Top 14,213

in Total Papers Citations

26

Scholarly Papers (26)

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 University of Michigan at Ann Arbor
Downloads 406 (49,657)

Abstract:

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 Dublin City University - School of Mathematical Sciences
Downloads 353 (52,624)

Abstract:

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, University of Michigan at Ann Arbor and Universität Wien, Fakultät für Mathematik
Downloads 341 (61,411)
Citation 2

Abstract:

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

The Incentives of Hedge Fund Fees and High-Water Marks

Boston U. School of Management Research Paper No. 2011-3
Number of pages: 27 Posted: 18 Mar 2011 Last Revised: 05 Feb 2013
Paolo Guasoni and Jan Obłój
Boston University - Department of Mathematics and Statistics and University of Oxford - Mathematical Institute
Downloads 285 (85,694)
Citation 3

Abstract:

Hedge Funds, High-Water Marks, Performance Fees, Portfolio Choice, Incentives, Risk shifting

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
Citation 3

Abstract:

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

5.

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 256 (96,770)
Citation 6

Abstract:

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

6.

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 252 (88,553)
Citation 1

Abstract:

Arbitrage, Bubbles, Transaction Costs, Local Martingales

7.
Downloads 243 (102,203)

Shortfall Aversion

Columbia Law and Economics Working Paper No. 483
Number of pages: 58 Posted: 20 Jun 2014 Last Revised: 10 Mar 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 190 (129,802)

Abstract:

loss aversion, portfolio choice, consumption, endowments

Shortfall Aversion

Columbia Business School Research Paper No. 15-22
Number of pages: 47 Posted: 15 Feb 2015
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 53 (318,738)

Abstract:

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
Downloads 0

Abstract:

consumption, endowments, loss aversion, portfolio choice

8.

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 240 (95,167)
Citation 6

Abstract:

Long Run, Portfolio Choice, Derivatives Pricing, Incomplete Markets

9.
Downloads 225 (110,496)
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 162 (150,236)
Citation 5

Abstract:

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 60 (299,562)
Citation 5

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
Downloads 3 (546,914)
Citation 5

Abstract:

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

10.

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 200 (75,684)

Abstract:

leverage, transaction costs, portfolio choice, performance evaluation

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 University of Michigan at Ann Arbor
Downloads 158 (153,508)
Citation 1

Abstract:

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 University of Michigan at Ann Arbor
Downloads 0
Citation 1

Abstract:

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

12.

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 154 (127,515)

Abstract:

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

13.

Who Should Sell Stocks?

Number of pages: 41 Posted: 07 Sep 2014 Last Revised: 26 Apr 2016
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 127 (122,810)

Abstract:

transaction costs, dividends, long-run, portfolio choice

14.

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 118 (165,990)

Abstract:

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

15.

Consumption in Incomplete Markets

Number of pages: 31 Posted: 20 Mar 2014 Last Revised: 14 Nov 2016
Paolo Guasoni and Gu Wang
Boston University - Department of Mathematics and Statistics and Worcester Polytechnic Institute
Downloads 96 (136,681)

Abstract:

portfolio choice, consumption, incomplete markets, power utility

16.

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, London School of Economics & Political Science (LSE) and affiliation not provided to SSRN
Downloads 88 (224,859)
Citation 1

Abstract:

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

17.

Nonlinear Price Impact and Portfolio Choice

Number of pages: 31 Posted: 02 Jun 2015
Paolo Guasoni and Marko Weber
Boston University - Department of Mathematics and Statistics and Dublin City University - School of Mathematical Sciences
Downloads 87 (118,296)

Abstract:

price-impact, portfolio choice, square-root law, trading volume

18.

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 80 (133,954)

Abstract:

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

19.

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 Dublin City University - School of Mathematical Sciences
Downloads 79 (161,320)

Abstract:

price impact, long-run, portfolio choice, liquidity

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, University of Michigan at Ann Arbor and London School of Economics & Political Science (LSE)
Downloads 73 (269,021)

Abstract:

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)
Downloads 0

Abstract:

long run, portfolio choice, incentives, executive compensation

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 70 (275,667)

Abstract:

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

Abstract:

portfolio choice, fund separation, long horizon

22.

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 23 (417,971)
Citation 1

Abstract:

23.

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 (527,845)

Abstract:

utility maximization, asymptotic elasticity, integral representation

24.

Leveraged Funds: Robust Replication and Performance Evaluation

Number of pages: 31 Posted: 19 Sep 2016 Last Revised: 02 Mar 2017
Paolo Guasoni and Eberhard Mayerhofer
Boston University - Department of Mathematics and Statistics and University of Limerick - Department of Mathematics and Statistics
Downloads 0 (173,791)

Abstract:

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

25.

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, Boulder
Downloads 0 (215,689)

Abstract:

healthcare, consumption, aging, mortality, Gompertz law

26.

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

Abstract: