Paolo Guasoni

Boston University
Department of Mathematics and Statistics
111 Cummington Street
Boston, MA 02215

+1 (617) 353-4992 (phone)
+1 (617) 353-8100 (fax)



http://www.guasoni.com/

Working Papers

W8 Leveraged Funds: Robust Replication and Performance Evaluation
(with Eberhard Mayerhofer)
 Slides
 Draft
W7 Healthcare and Consumption with Aging
(with Yu-Jui Huang)
 Slides
 Draft
W6 Nonlinear Price Impact and Portfolio Choice
(with Marko Weber)
 Slides Video
 Draft
W5 Rebalancing Multiple Assets with Mutual Price Impact
(with Marko Weber)
 Slides
 Draft
W4 Who Should Sell Stocks?
(with Ren Liu, Johannes Muhle-Karbe)
 Slides Video
 Draft
W3 The Limits of Leverage
(with Eberhard Mayerhofer)
 Slides Video
 Draft
W2 Shortfall Aversion
(with Gur Huberman, Dan Ren)
 Slides Video
 Draft
W1 Consumption in Incomplete Markets
(with Gu Wang)
 Draft

Publications in peer-reviewed journals

P28 Investing with Liquid and Illiquid Assets
(with Maxim Bichuch)
Mathematical Finance, forthcoming.
 Draft
P27 Dynamic Trading Volume
(with Marko Weber)
Mathematical Finance, forthcoming.
 Slides Video
 Article Draft
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.
 Article Draft
P25 Robust Portfolios and Weak Incentives in Long Run Investments
(with Johannes Muhle-Karbe, Hao Xing)
Mathematical Finance, forthcoming.
 Article Draft
P24 Fragility of arbitrage and bubbles in local martingale diffusion models
(with Miklos Rasonyi)
Finance and Stochastics, 19 (2015) no. 2 p. 215-231.
 Article Draft
P23 Hedging, Arbitrage, and Optimality with Superlinear Frictions
(with Miklos Rasonyi)
Annals of Applied Probability, 25 (2015) no. 4 p. 2066-2095.
 Slides
 Article Draft
P22 The Incentives of Hedge Fund Fees and High-Water Marks
(with Jan Obloj)
Mathematical Finance, forthcoming.
 Slides
 Article Draft
P21 Abstract, Classic, and Explicit Turnpikes
(with Costantinos Kardaras, Scott Robertson, Hao Xing)
Finance and Stochastics, 18 (2014) no. 1 p. 75-114.
 Slides
 Article Draft MathSciNet
P20 Long Horizons, High Risk-Aversion, and Endogenous Spreads
(with Johannes Muhle-Karbe)
Mathematical Finance, 25 (2015) no. 4 p. 724-753.
 Article Draft
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.
 Slides
 Article Draft MathSciNet
P18 Static Fund Separation of Long Term Investments
(with Scott Robertson)
Mathematical Finance, 25 (2015) no. 4 p. 789-826.
 Article Draft
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.
 Slides
 Article Draft MathSciNet ZMATH
P16 Portfolios and Risk Premia for the Long Run
(with Scott Robertson)
Annals of Applied Probability, 22 (2012) no. 1 p. 239-284.
 Slides
 Article Draft MathSciNet ZMATH
P15 Performance Maximization of Actively Managed Funds
(with Gur Huberman, Zhenyu Wang)
Journal of Financial Economics, 101 (2011) no. 3 p. 574-595.
 Slides
 Article Draft
P14 Relaxed Utility Maximization in Complete Markets
(with Sara Biagini)
Mathematical Finance, 21 (2011) no. 4 p. 703-722.
 Slides
 Article Draft MathSciNet ZMATH
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.
 Article Draft ZMATH
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.
 Article Draft MathSciNet ZMATH
P11 Optimal Importance Sampling with Explicit Formulas in Continuous Time
(with Scott Robertson)
Finance and Stochastics, 12 (2008) no. 1 p. 1-19.
 Article Draft MathSciNet ZMATH
P10 No Arbitrage with Transaction Costs, with Fractional Brownian Motion and Beyond
Mathematical Finance, 16 (2006) no. 3 p. 569-582.
 Article Draft MathSciNet ZMATH
P 9 Asymmetric Information in Fads Models
Finance and Stochastics, 10 (2006) no. 2 p. 159-177.
 Article Draft MathSciNet ZMATH
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.
 Article Draft MathSciNet ZMATH
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.
 Article Draft MathSciNet ZMATH
P 6 Optimal Investment with Transaction Costs and without Semimartingales
Annals of Applied Probability, 12 (2002) no. 4 p. 1227-1246.
 Article Draft MathSciNet ZMATH
P 5 Risk Minimization under Transaction Costs
Finance and Stochastics, 6 (2002) no. 1 p. 91-113.
 Article Draft MathSciNet ZMATH
P 4 Mean-Variance Hedging with Stochastic Volatility Models
(with Francesca Biagini, Maurizio Pratelli)
Mathematical Finance, 10 (2000) no. 2 p. 109-123.
 Article Draft MathSciNet ZMATH
P 3 Mean-Variance Hedging with Random Volatility Jumps
(with Francesca Biagini)
Stochastic Analysis and Applications, 20 (2002) no. 3 p. 471-494.
 Article Draft MathSciNet ZMATH
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.
 Draft MathSciNet ZMATH
P 1 Shape Optimization Problems over Classes of Convex Domains
(with Giuseppe Buttazzo)
Journal of Convex Analysis, 4 (1997) no. 2 p. 343-351.
 Draft MathSciNet ZMATH

Conference Proceedings

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.