Paolo Guasoni

Dublin City University
School of Mathematical Sciences
Glasnevin, Dublin 9
Ireland

+353 1 700-8921 (phone)
+353 1 700-5786 (fax)


http://www.guasoni.com/

Working Papers

W 3 Existence of an Equilibrium with Limited Stock Market Participation and Power Utilities
(with Kasper Larsen, Giovanni Leoni)
 Draft
W 2 Options Portfolio Selection with Position Limits
(with Eberhard Mayerhofer, Mingchuan Zhao)
 Draft
W 1 General Equilibrium with Unhedgeable Fundamentals and Heterogeneous Agents
(with Marko Weber)
 Slides
 Draft

Publications in peer-reviewed journals

P54 Lightning Network Economics: Topology
(with Gur Huberman, Clara Shikhelman)
Management Science, forthcoming.
 Article Draft
P53 Reference Dependence: Endogenous Anchors and Life-Cycle Investing
(with Andrea Meireles Rodrigues)
Mathematical Finance, forthcoming.
 Slides Video
 Article Draft
P52 Lightning Network Economics: Channels
(with Gur Huberman, Clara Shikhelman)
Management Science, 70 (2024) no. 6 p. 3381-4165.
 Slides Video
 Article Draft
P51 Leveraged Funds: Robust Replication and Performance Evaluation
(with Eberhard Mayerhofer)
Quantitative Finance, 23 (2023) no. 7 p. 1155-1176.
 Slides
 Article Draft
P50 Rogue Traders
(with Huayuan Dong, Eberhard Mayerhofer)
Finance and Stochastics, 27 (2023) no. 3 p. 539-603.
 Slides
 Article Draft
P49 Minimizing the Repayment Cost of Federal Student Loans
(with Yu-Jui Huang)
SIAM Review, 64 (2022) no. 3 p. 689-709.
 Slides
 Article MathSciNet ZMATH
P48 Informational Efficiency and Welfare
(with Luca Bernardinelli, Eberhard Mayerhofer)
Mathematics and Financial Economics, 16 (2022) no. 4 p. 659-683.
 Article Draft MathSciNet ZMATH
P47 Young, Timid, and Risk Takers
(with Lóránt Nagy, Miklos Rasonyi)
Mathematical Finance, 31 (2021) no. 4 p. 1332-1356.
 Article Draft MathSciNet
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.
 Slides
 Article Draft MathSciNet ZMATH
P45 Sharing Profits in the Sharing Economy
(with Gu Wang)
SIAM Journal on Control and Optimization, 58 (2020) no. 6 p. 3559-3585.
 Slides
 Article Draft MathSciNet ZMATH
P44 High-Frequency Trading with Fractional Brownian Motion
(with Yuliya Mishura, Miklos Rasonyi)
Finance and Stochastics, 25 (2021) no. 2 p. 277-310.
 Article Draft MathSciNet ZMATH
P43 Minimal L^p Densities with Prescribed Marginals
(with Eberhard Mayerhofer, Mingchuan Zhao)
Bernoulli, 27 (2021) no. 1 p. 576-585.
 Article Draft MathSciNet ZMATH
P42 Asset Prices in Segmented and Integrated Markets
(with Kwok Chuen Wong)
Finance and Stochastics, 24 (2020) no. 2 p. 939-980.
 Slides Video
 Article Draft MathSciNet ZMATH
P41 Shortfall Aversion
(with Gur Huberman, Dan Ren)
Mathematical Finance, 30 (2020) no. 3 p. 869-920.
 Slides Video
 Article Draft MathSciNet ZMATH
P40 Consumption in Incomplete Markets
(with Gu Wang)
Finance and Stochastics, 24 (2020) no. 2 p. 383-422.
 Article Draft MathSciNet ZMATH
P39 The Learning Premium
(with Maxim Bichuch)
Mathematics and Financial Economics, 14 (2020) no. 1 p. 175-205.
 Article Draft MathSciNet ZMATH
P38 Nonlinear Price Impact and Portfolio Choice
(with Marko Weber)
Mathematical Finance, 30 (2020) no. 2 p. 341-376.
 Slides Video
 Article Draft MathSciNet ZMATH
P37 Options Portfolio Selection
(with Eberhard Mayerhofer)
Operations Research, 68 (2020) no. 3 p. 733-740.
 Slides
 Article Draft MathSciNet ZMATH
P36 Trading Fractional Brownian Motion
(with Zsolt Nika, Miklos Rasonyi)
SIAM Journal on Financial Mathematics, 10 (2019) no. 3 p. 769-789.
 Article Draft MathSciNet ZMATH
P35 Should Commodity Investors Follow Commodities' Prices?
(with Antonella Tolomeo, Gu Wang)
SIAM Journal on Financial Mathematics, 10 (2019) no. 2 p. 466-490.
 Slides
 Article Draft MathSciNet ZMATH
P34 Consumption, Investment, and Healthcare with Aging
(with Yu-Jui Huang)
Finance and Stochastics, 23 (2019) no. 2 p. 313-358.
 Slides
 Article Draft MathSciNet ZMATH
P33 Reference Dependence and Market Participation
(with Andrea Meireles Rodrigues)
Mathematics of Operations Research, 45 (2019) no. 1 p. 129-156.
 Article Draft MathSciNet ZMATH
P32 Consumption and Investment with Interest Rate Risk
(with Gu Wang)
Journal of Mathematical Analysis and Applications, 476 (2019) no. 1 p. 215-239.
 Article Draft MathSciNet ZMATH
P31 Who Should Sell Stocks?
(with Ren Liu, Johannes Muhle-Karbe)
Mathematical Finance, 29 (2019) no. 2 p. 448-482.
 Slides Video
 Article Draft MathSciNet ZMATH
P30 Rebalancing Multiple Assets with Mutual Price Impact
(with Marko Weber)
Journal of Optimization Theory and Applications, 179 (2018) no. 2 p. 618-653.
 Article Draft MathSciNet ZMATH
P29 The Limits of Leverage
(with Eberhard Mayerhofer)
Mathematical Finance, 29 (2019) no. 1 p. 249-284.
 Slides Video
 Article Draft MathSciNet ZMATH
P28 Investing with Liquid and Illiquid Assets
(with Maxim Bichuch)
Mathematical Finance, 28 (2018) no. 1 p. 119-152.
 Article Draft MathSciNet ZMATH
P27 Dynamic Trading Volume
(with Marko Weber)
Mathematical Finance, 27 (2017) no. 2 p. 313-349.
 Slides Video
 Article Draft MathSciNet
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 MathSciNet ZMATH
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.
 Article Draft MathSciNet ZMATH
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 MathSciNet ZMATH
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 MathSciNet ZMATH
P22 The Incentives of Hedge Fund Fees and High-Water Marks
(with Jan Obloj)
Mathematical Finance, 26 (2016) no. 2 p. 269-295.
 Slides
 Article Draft MathSciNet ZMATH
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 ZMATH
P20 Long Horizons, High Risk-Aversion, and Endogenous Spreads
(with Johannes Muhle-Karbe)
Mathematical Finance, 25 (2015) no. 4 p. 724-753.
 Article Draft MathSciNet ZMATH
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 ZMATH
P18 Static Fund Separation of Long Term Investments
(with Scott Robertson)
Mathematical Finance, 25 (2015) no. 4 p. 789-826.
 Article Draft MathSciNet ZMATH
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

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.