Paolo GuasoniBoston UniversityDepartment of Mathematics and Statistics 111 Cummington Street Boston, MA 02215 +1 (617) 3534992 (phone) +1 (617) 3538100 (fax) 
http://www.guasoni.com/ 
Working Papers  
W7 
Healthcare and Consumption with Aging (with YuJui Huang) 
 
W6 
Nonlinear Price Impact and Portfolio Choice (with Marko Weber) 
 
W5 
Rebalancing Multiple Assets with Mutual Price Impact (with Marko Weber) 
 
W4 
Who Should Sell Stocks? (with Ren Liu, Johannes MuhleKarbe) 
 
W3 
The Limits of Leverage (with Eberhard Mayerhofer) 
 
W2 
Shortfall Aversion (with Gur Huberman, Dan Ren) 
 
W1 
Consumption in Incomplete Markets (with Gu Wang) 
 
Publications in peerreviewed journals  
P28 
Investing with Liquid and Illiquid Assets (with Maxim Bichuch) Mathematical Finance, forthcoming. 
 
P27 
Dynamic Trading Volume (with Marko Weber) Mathematical Finance, forthcoming. 
 
P26 
Hedge and Mutual Funds' Fees and the Separation of Private Investments (with Gu Wang) Finance and Stochastics, 19 (2015) no. 3 p. 473507. 
 
P25 
Robust Portfolios and Weak Incentives in Long Run Investments (with Johannes MuhleKarbe, Hao Xing) Mathematical Finance, forthcoming. 
 
P24 
Fragility of arbitrage and bubbles in local martingale diffusion models (with Miklos Rasonyi) Finance and Stochastics, 19 (2015) no. 2 p. 215231. 
 
P23 
Hedging, Arbitrage, and Optimality with Superlinear Frictions (with Miklos Rasonyi) Annals of Applied Probability, 25 (2015) no. 4 p. 20662095. 
 
P22 
The Incentives of Hedge Fund Fees and HighWater Marks (with Jan Obloj) Mathematical Finance, forthcoming. 
 
P21 
Abstract, Classic, and Explicit Turnpikes (with Costantinos Kardaras, Scott Robertson, Hao Xing) Finance and Stochastics, 18 (2014) no. 1 p. 75114. 
 
P20 
Long Horizons, High RiskAversion, and Endogenous Spreads (with Johannes MuhleKarbe) Mathematical Finance, 25 (2015) no. 4 p. 724753. 
 
P19 
Transaction Costs, Trading Volume, and the Liquidity Premium (with Stefan Gerhold, Johannes MuhleKarbe, Walter Schachermayer) Finance and Stochastics, 18 (2014) no. 1 p. 137. 
 
P18 
Static Fund Separation of Long Term Investments (with Scott Robertson) Mathematical Finance, 25 (2015) no. 4 p. 789826. 
 
P17 
The Fundamental Theorem of Asset Pricing under Transaction Costs (with Emmanuel Lepinette, Miklos Rasonyi) Finance and Stochastics, 16 (2012) no. 4 p. 741777. 
 
P16 
Portfolios and Risk Premia for the Long Run (with Scott Robertson) Annals of Applied Probability, 22 (2012) no. 1 p. 239284. 
 
P15 
Performance Maximization of Actively Managed Funds (with Gur Huberman, Zhenyu Wang) Journal of Financial Economics, 101 (2011) no. 3 p. 574595. 
 
P14 
Relaxed Utility Maximization in Complete Markets (with Sara Biagini) Mathematical Finance, 21 (2011) no. 4 p. 703722. 
 
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. 157191. 
 
P12 
Consistent Price Systems and FaceLifting Pricing under Transaction Costs (with Miklos Rasonyi, Walter Schachermayer) Annals of Applied Probability, 18 (2008) no. 2 p. 491520. 
 
P11 
Optimal Importance Sampling with Explicit Formulas in Continuous Time (with Scott Robertson) Finance and Stochastics, 12 (2008) no. 1 p. 119. 
 
P10 
No Arbitrage with Transaction Costs, with Fractional Brownian Motion and Beyond Mathematical Finance, 16 (2006) no. 3 p. 569582. 
 
P 9 
Asymmetric Information in Fads Models Finance and Stochastics, 10 (2006) no. 2 p. 159177. 
 
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. 20062022. 
 
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. 153170. 
 
P 6 
Optimal Investment with Transaction Costs and without Semimartingales Annals of Applied Probability, 12 (2002) no. 4 p. 12271246. 
 
P 5 
Risk Minimization under Transaction Costs Finance and Stochastics, 6 (2002) no. 1 p. 91113. 
 
P 4 
MeanVariance Hedging with Stochastic Volatility Models (with Francesca Biagini, Maurizio Pratelli) Mathematical Finance, 10 (2000) no. 2 p. 109123. 
 
P 3 
MeanVariance Hedging with Random Volatility Jumps (with Francesca Biagini) Stochastic Analysis and Applications, 20 (2002) no. 3 p. 471494. 
 
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. 279293. 
 
P 1 
Shape Optimization Problems over Classes of Convex Domains (with Giuseppe Buttazzo) Journal of Convex Analysis, 4 (1997) no. 2 p. 343351. 

Conference Proceedings  
C5 
Portfolio Choice with Transaction Costs: a User's Guide (with Johannes MuhleKarbe) ParisPrinceton 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. 