Paolo Guasoni
Dublin City UniversitySchool of Mathematical Sciences
Glasnevin, Dublin 9
Ireland
+353 1 700-8921 (phone)
+353 1 700-5786 (fax)
http://www.guasoni.com/
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Paolo GuasoniDublin City UniversitySchool of Mathematical Sciences Glasnevin, Dublin 9 Ireland +353 1 700-8921 (phone) +353 1 700-5786 (fax) |
http://www.guasoni.com/ |
Working Papers | |||||||
| W 4 |
Existence of an Equilibrium with Limited Stock Market Participation and Power Utilities (with Kasper Larsen, Giovanni Leoni) |
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| W 3 |
Lightning Network Economics: Topology (with Gur Huberman, Clara Shikhelman) |
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| W 2 |
Options Portfolio Selection with Position Limits (with Eberhard Mayerhofer, Mingchuan Zhao) |
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| W 1 |
General Equilibrium with Unhedgeable Fundamentals and Heterogeneous Agents (with Marko Weber) |
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Publications in peer-reviewed journals | |||||||
| P53 |
Reference Dependence: Endogenous Anchors and Life-Cycle Investing (with Andrea Meireles Rodrigues) Mathematical Finance, forthcoming. |
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| P52 |
Lightning Network Economics: Channels (with Gur Huberman, Clara Shikhelman) Management Science, forthcoming. |
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| P51 |
Leveraged Funds: Robust Replication and Performance Evaluation (with Eberhard Mayerhofer) Quantitative Finance, 23 (2023) no. 7 p. 1155-1176. |
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| P50 |
Rogue Traders (with Huayuan Dong, Eberhard Mayerhofer) Finance and Stochastics, 27 (2023) no. 3 p. 539-603. |
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| P49 |
Minimizing the Repayment Cost of Federal Student Loans (with Yu-Jui Huang) SIAM Review, 64 (2022) no. 3 p. 689-709. |
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| P48 |
Informational Efficiency and Welfare (with Luca Bernardinelli, Eberhard Mayerhofer) Mathematics and Financial Economics, 16 (2022) no. 4 p. 659-683. |
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| P47 |
Young, Timid, and Risk Takers (with Lóránt Nagy, Miklos Rasonyi) Mathematical Finance, 31 (2021) no. 4 p. 1332-1356. |
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| P46 |
American Student Loans: Repayment and Valuation (with Yu-Jui Huang, Saeed Khalili) SIAM Journal on Financial Mathematics, 12 (2021) no. 2 p. SC16-SC30. |
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| P45 |
Sharing Profits in the Sharing Economy (with Gu Wang) SIAM Journal on Control and Optimization, 58 (2020) no. 6 p. 3559-3585. |
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| P44 |
High-Frequency Trading with Fractional Brownian Motion (with Yuliya Mishura, Miklos Rasonyi) Finance and Stochastics, 25 (2021) no. 2 p. 277-310. |
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| P43 |
Minimal L^p Densities with Prescribed Marginals (with Eberhard Mayerhofer, Mingchuan Zhao) Bernoulli, 27 (2021) no. 1 p. 576-585. |
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| P42 |
Asset Prices in Segmented and Integrated Markets (with Kwok Chuen Wong) Finance and Stochastics, 24 (2020) no. 2 p. 939-980. |
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| P41 |
Shortfall Aversion (with Gur Huberman, Dan Ren) Mathematical Finance, 30 (2020) no. 3 p. 869-920. |
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| P40 |
Consumption in Incomplete Markets (with Gu Wang) Finance and Stochastics, 24 (2020) no. 2 p. 383-422. |
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| P39 |
The Learning Premium (with Maxim Bichuch) Mathematics and Financial Economics, 14 (2020) no. 1 p. 175-205. |
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| P38 |
Nonlinear Price Impact and Portfolio Choice (with Marko Weber) Mathematical Finance, 30 (2020) no. 2 p. 341-376. |
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| P37 |
Options Portfolio Selection (with Eberhard Mayerhofer) Operations Research, 68 (2020) no. 3 p. 733-740. |
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| P36 |
Trading Fractional Brownian Motion (with Zsolt Nika, Miklos Rasonyi) SIAM Journal on Financial Mathematics, 10 (2019) no. 3 p. 769-789. |
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| P35 |
Should Commodity Investors Follow Commodities' Prices? (with Antonella Tolomeo, Gu Wang) SIAM Journal on Financial Mathematics, 10 (2019) no. 2 p. 466-490. |
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| P34 |
Consumption, Investment, and Healthcare with Aging (with Yu-Jui Huang) Finance and Stochastics, 23 (2019) no. 2 p. 313-358. |
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| P33 |
Reference Dependence and Market Participation (with Andrea Meireles Rodrigues) Mathematics of Operations Research, 45 (2019) no. 1 p. 129-156. |
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| P32 |
Consumption and Investment with Interest Rate Risk (with Gu Wang) Journal of Mathematical Analysis and Applications, 476 (2019) no. 1 p. 215-239. |
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| P31 |
Who Should Sell Stocks? (with Ren Liu, Johannes Muhle-Karbe) Mathematical Finance, 29 (2019) no. 2 p. 448-482. |
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| P30 |
Rebalancing Multiple Assets with Mutual Price Impact (with Marko Weber) Journal of Optimization Theory and Applications, 179 (2018) no. 2 p. 618-653. |
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| P29 |
The Limits of Leverage (with Eberhard Mayerhofer) Mathematical Finance, 29 (2019) no. 1 p. 249-284. |
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| P28 |
Investing with Liquid and Illiquid Assets (with Maxim Bichuch) Mathematical Finance, 28 (2018) no. 1 p. 119-152. |
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| P27 |
Dynamic Trading Volume (with Marko Weber) Mathematical Finance, 27 (2017) no. 2 p. 313-349. |
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| P26 |
Hedge and Mutual Funds' Fees and the Separation of Private Investments (with Gu Wang) Finance and Stochastics, 19 (2015) no. 3 p. 473-507. |
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| P25 |
Robust Portfolios and Weak Incentives in Long Run Investments (with Johannes Muhle-Karbe, Hao Xing) Mathematical Finance, 27 (2017) no. 1 p. 3-37. |
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| P24 |
Fragility of arbitrage and bubbles in local martingale diffusion models (with Miklos Rasonyi) Finance and Stochastics, 19 (2015) no. 2 p. 215-231. |
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| P23 |
Hedging, Arbitrage, and Optimality with Superlinear Frictions (with Miklos Rasonyi) Annals of Applied Probability, 25 (2015) no. 4 p. 2066-2095. |
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| P22 |
The Incentives of Hedge Fund Fees and High-Water Marks (with Jan Obloj) Mathematical Finance, 26 (2016) no. 2 p. 269-295. |
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| P21 |
Abstract, Classic, and Explicit Turnpikes (with Costantinos Kardaras, Scott Robertson, Hao Xing) Finance and Stochastics, 18 (2014) no. 1 p. 75-114. |
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| P20 |
Long Horizons, High Risk-Aversion, and Endogenous Spreads (with Johannes Muhle-Karbe) Mathematical Finance, 25 (2015) no. 4 p. 724-753. |
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| P19 |
Transaction Costs, Trading Volume, and the Liquidity Premium (with Stefan Gerhold, Johannes Muhle-Karbe, Walter Schachermayer) Finance and Stochastics, 18 (2014) no. 1 p. 1-37. |
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| P18 |
Static Fund Separation of Long Term Investments (with Scott Robertson) Mathematical Finance, 25 (2015) no. 4 p. 789-826. |
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| P17 |
The Fundamental Theorem of Asset Pricing under Transaction Costs (with Emmanuel Lepinette, Miklos Rasonyi) Finance and Stochastics, 16 (2012) no. 4 p. 741-777. |
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| P16 |
Portfolios and Risk Premia for the Long Run (with Scott Robertson) Annals of Applied Probability, 22 (2012) no. 1 p. 239-284. |
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| P15 |
Performance Maximization of Actively Managed Funds (with Gur Huberman, Zhenyu Wang) Journal of Financial Economics, 101 (2011) no. 3 p. 574-595. |
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| P14 |
Relaxed Utility Maximization in Complete Markets (with Sara Biagini) Mathematical Finance, 21 (2011) no. 4 p. 703-722. |
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| P13 |
The Fundamental Theorem of Asset Pricing for Continuous Processes under Small Transaction Costs (with Miklos Rasonyi, Walter Schachermayer) Annals of Finance, 6 (2010) no. 2 p. 157-191. |
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| P12 |
Consistent Price Systems and Face-Lifting Pricing under Transaction Costs (with Miklos Rasonyi, Walter Schachermayer) Annals of Applied Probability, 18 (2008) no. 2 p. 491-520. |
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| P11 |
Optimal Importance Sampling with Explicit Formulas in Continuous Time (with Scott Robertson) Finance and Stochastics, 12 (2008) no. 1 p. 1-19. |
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| P10 |
No Arbitrage with Transaction Costs, with Fractional Brownian Motion and Beyond Mathematical Finance, 16 (2006) no. 3 p. 569-582. |
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| P 9 |
Asymmetric Information in Fads Models Finance and Stochastics, 10 (2006) no. 2 p. 159-177. |
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| P 8 |
Superreplication and Utility Maximization in Large Financial Markets (with Marzia De Donno, Maurizio Pratelli) Stochastic Processes and Applications, 115 (2005) no. 12 p. 2006-2022. |
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| P 7 |
Necessary Conditions for the Existence of Utility Maximizing Strategies under Transaction Costs (with Walter Schachermayer) Statistics and Decisions, 22 (2004) no. 2 p. 153-170. |
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| P 6 |
Optimal Investment with Transaction Costs and without Semimartingales Annals of Applied Probability, 12 (2002) no. 4 p. 1227-1246. |
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| P 5 |
Risk Minimization under Transaction Costs Finance and Stochastics, 6 (2002) no. 1 p. 91-113. |
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| P 4 |
Mean-Variance Hedging with Stochastic Volatility Models (with Francesca Biagini, Maurizio Pratelli) Mathematical Finance, 10 (2000) no. 2 p. 109-123. |
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| P 3 |
Mean-Variance Hedging with Random Volatility Jumps (with Francesca Biagini) Stochastic Analysis and Applications, 20 (2002) no. 3 p. 471-494. |
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| P 2 |
Some Problems of Shape Optimization Arising in Stationary Fluid Motion (with Luigi Berselli) Advances in Mathematical Sciences and Applications, 14 (2004) no. 1 p. 279-293. |
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| P 1 |
Shape Optimization Problems over Classes of Convex Domains (with Giuseppe Buttazzo) Journal of Convex Analysis, 4 (1997) no. 2 p. 343-351. |
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Conference Proceedings | |
| C6 |
Liquidation with Nonlinear Float-Dependent Price Impact (with Ali Sanjari) High Frequency, 2 (2019) p. 85–94. |
| C5 |
Portfolio Choice with Transaction Costs: a User's Guide (with Johannes Muhle-Karbe) Paris-Princeton Lectures in Mathematical Finance 2013 |
| C4 |
Importance Sampling with Basket Options (with Scott Robertson) Wilmott, Nov/Dec (2007) |
| C3 |
No Free Lunch under Transaction Costs for Continuous Processes Seminar on Stochastic Analysis, Random Fields and Applications V: Centro Stefano Franscini, Ascona, May 2005 (Progress in Probability) |
| C2 |
Excursions in the Martingale Hypothesis Stochastic Processes and Applications to Mathematical Finance: Proceedings of the Ritsumeikan International Symposium |
| C1 |
Estimating State Price Densities by Hermite Polynomials: Theory and Application to Italian Derivatives Market Temi di Discussione del Servizio Studi della Banca d'Italia. No. 507 (July 2004) |
Dissertations | |
| T2 |
Optimal Investment Problems under Market Frictions Ph.D. Thesis. Scuola Normale Superiore, 2002 |
| T1 |
Problemi di ottimizzazione di forma su classi di insiemi convessi (Italian) Laurea Thesis. University of Pisa, 1996. |