Paolo Guasoni: search on Z-Library

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1

Trading Fractional Brownian Motion

Guasoni, Paolo, Nika, Zsolt, Rásonyi, Miklós

Journal:

SIAM Journal on Financial Mathematics

Year:

2019

Language:

english

File:

PDF, 427 KB

english, 2019

2

High-frequency trading with fractional Brownian motion

Guasoni, Paolo, Mishura, Yuliya, RÃ¡sonyi, MiklÃ³s

Journal:

Finance and Stochastics

Year:

2020

File:

PDF, 1009 KB

2020

3

NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND

Journal:

Mathematical Finance

Year:

2006

Language:

english

File:

PDF, 237 KB

english, 2006

4

Consumption and investment with interest rate risk

Guasoni, Paolo, Wang, Gu

Journal:

Journal of Mathematical Analysis and Applications

Year:

2019

Language:

english

File:

PDF, 1.28 MB

english, 2019

5

LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS

Guasoni, Paolo, Muhle-Karbe, Johannes

Journal:

Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 366 KB

english, 2015

6

STATIC FUND SEPARATION OF LONG-TERM INVESTMENTS

Guasoni, Paolo, Robertson, Scott

Journal:

Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 415 KB

english, 2015

7

Transaction costs, trading volume, and the liquidity premium

Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe…

Journal:

Finance and Stochastics

Year:

2014

Language:

english

File:

PDF, 1.10 MB

english, 2014

8

Should Commodity Investors Follow Commodities' Prices?

Guasoni, Paolo, Tolomeo, Antonella, Wang, Gu

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 452 KB

english, 2018

9

The fundamental theorem of asset pricing for continuous processes under small transaction costs

Paolo Guasoni, Miklós Rásonyi, Walter Schachermayer

Journal:

Annals of Finance

Year:

2010

Language:

english

File:

PDF, 378 KB

english, 2010

10

INVESTING WITH LIQUID AND ILLIQUID ASSETS

Bichuch, Maxim, Guasoni, Paolo

Journal:

Mathematical Finance

Year:

2016

Language:

english

File:

PDF, 415 KB

english, 2016

11

THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS

Guasoni, Paolo, Obłój, Jan

Journal:

Mathematical Finance

Year:

2016

Language:

english

File:

PDF, 475 KB

english, 2016

12

Who should sell stocks?

Guasoni, Paolo, Liu, Ren, Muhle-Karbe, Johannes

Journal:

Mathematical Finance

Year:

2018

Language:

english

File:

PDF, 582 KB

english, 2018

13

Performance maximization of actively managed funds

Paolo Guasoni, Gur Huberman, Zhenyu Wang

Journal:

Journal of Financial Economics

Year:

2011

Language:

english

File:

PDF, 844 KB

english, 2011

14

Rebalancing Multiple Assets with Mutual Price Impact

Guasoni, Paolo, Weber, Marko H.

Journal:

Journal of Optimization Theory and Applications

Year:

2018

Language:

english

File:

PDF, 759 KB

english, 2018

15

The Fundamental Theorem of Asset Pricing Under Transaction Costs

Guasoni, Paolo, Lepinette-Denis, Emmanuel, Rasonyi, Miklos

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 358 KB

english, 2011

16

[Lecture Notes in Mathematics] Paris-Princeton Lectures on Mathematical Finance 2013 Volume 2081 ||

Benth, Fred Espen, Crisan, Dan, Guasoni, Paolo, Manolarakis, Konstantinos, Muhle-Karbe, Johannes, Nee, Colm, Protter, Philip

Year:

2013

Language:

english

File:

PDF, 4.02 MB

english, 2013

17

The fundamental theorem of asset pricing under transaction costs

Paolo Guasoni, Emmanuel Lépinette, Miklós Rásonyi

Journal:

Finance and Stochastics

Year:

2012

Language:

english

File:

PDF, 1.04 MB

english, 2012

18

Portfolios and risk premia for the long run

Guasoni, Paolo, Robertson, Scott

Journal:

The Annals of Applied Probability

Year:

2012

Language:

english

File:

PDF, 469 KB

english, 2012

19

Consumption, investment and healthcare with aging

Guasoni, Paolo, Huang, Yu-Jui

Journal:

Finance and Stochastics

Year:

2019

Language:

english

File:

PDF, 1.20 MB

english, 2019

20

Mean-Variance Hedging for Stochastic Volatility Models

Francesca Biagini, Paolo Guasoni, Maurizio Pratelli

Journal:

Mathematical Finance

Year:

2000

Language:

english

File:

PDF, 255 KB

english, 2000

21

Optimal importance sampling with explicit formulas in

Paolo Guasoni, Scott Robertson

Journal:

Finance and Stochastics

Year:

2008

Language:

english

File:

PDF, 418 KB

english, 2008

22

DYNAMIC TRADING VOLUME

Guasoni, Paolo, Weber, Marko

Journal:

Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 568 KB

english, 2015

23

Asymmetric Information in Fads Models

Journal:

Finance and Stochastics

Year:

2006

Language:

english

File:

PDF, 185 KB

english, 2006

24

Necessary conditions for the existence of utility maximizing strategies under transaction costs

Guasoni, Paolo, Schachermayer, Walter

Journal:

Statistics & Decisions

Year:

2004

Language:

english

File:

PDF, 258 KB

english, 2004

25

[Lecture Notes in Mathematics] Paris-Princeton Lectures on Mathematical Finance 2013 Volume 2081 || A Mathematical Theory of Financial Bubbles

Benth, Fred Espen, Crisan, Dan, Guasoni, Paolo, Manolarakis, Konstantinos, Muhle-Karbe, Johannes, Nee, Colm, Protter, Philip

Year:

2013

Language:

english

File:

PDF, 2.02 MB

english, 2013

26

RELAXED UTILITY MAXIMIZATION IN COMPLETE MARKETS

Sara Biagini, Paolo Guasoni

Journal:

Mathematical Finance

Year:

2011

Language:

english

File:

PDF, 192 KB

english, 2011

27

Hedge and mutual funds’ fees and the separation of private investments

Guasoni, Paolo, Wang, Gu

Journal:

Finance and Stochastics

Year:

2015

Language:

english

File:

PDF, 1.40 MB

english, 2015

28

PORTFOLIOS AND RISK PREMIA FOR THE LONG RUN

Paolo Guasoni and Scott Robertson

Journal:

The Annals of Applied Probability

Year:

2012

Language:

english

File:

PDF, 2.82 MB

english, 2012

29

Hedging, arbitrage and optimality with superlinear frictions

Guasoni, Paolo, Rásonyi, Miklós

Journal:

The Annals of Applied Probability

Year:

2015

Language:

english

File:

PDF, 288 KB

english, 2015

30

Risk minimization under transaction costs

Journal:

Finance and Stochastics

Year:

2002

Language:

english

File:

PDF, 162 KB

english, 2002

31

Fragility of arbitrage and bubbles in local martingale diffusion models

Guasoni, Paolo, Rásonyi, Miklós

Journal:

Finance and Stochastics

Year:

2015

Language:

english

File:

PDF, 611 KB

english, 2015

32

Consistent Price Systems and Face-Lifting Pricing under Transaction Costs

Paolo Guasoni, Miklós Rásonyi and Walter Schachermayer

Journal:

The Annals of Applied Probability

Year:

2008

Language:

english

File:

PDF, 1.93 MB

english, 2008

33

Optimal Investment with Transaction Costs and without Semimartingales

Journal:

The Annals of Applied Probability

Year:

2002

Language:

english

File:

PDF, 518 KB

english, 2002

34

The limits of leverage

Guasoni, Paolo, Mayerhofer, Eberhard

Journal:

Mathematical Finance

Year:

2018

Language:

english

File:

PDF, 582 KB

english, 2018

35

Trading Fractional Brownian Motion

Guasoni, Paolo, Nika, Zsolt, Rasonyi, Miklos

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 383 KB

english, 2017

36

Rebalancing Multiple Assets with Mutual Price Impact

Guasoni, Paolo, Weber, Marko

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 2.06 MB

english, 2015

37

High-Water Marks and Separation of Private Investments

Guasoni, Paolo, Wang, Gu

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 249 KB

english, 2012

38

Consistent price systems and face-lifting pricing under transaction costs

Guasoni, Paolo, Rásonyi, Miklós, Schachermayer, Walter

Journal:

The Annals of Applied Probability

Year:

2008

File:

PDF, 263 KB

2008

39

ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTS

Guasoni, Paolo, Muhle-Karbe, Johannes, Xing, Hao

Journal:

Mathematical Finance

Year:

2014

Language:

english

File:

PDF, 395 KB

english, 2014

40

Consumption in incomplete markets

Guasoni, Paolo, Wang, Gu

Journal:

Finance and Stochastics

Year:

2020

File:

PDF, 1.00 MB

2020

41

Optimal investment with transaction costs and without semimartingales

Journal:

The Annals of Applied Probability

Year:

2002

Language:

english

File:

PDF, 169 KB

english, 2002

42

Transaction Costs, Trading Volume, and the Liquidity Premium

Gerhold, Stefan, Guasoni, Paolo, Muhle-Karbe, Johannes, Schachermayer, Walter

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 734 KB

english, 2012

43

The Incentives of Hedge Fund Fees and High-Water Marks

Guasoni, Paolo, Obloj, Jan K.

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 482 KB

english, 2010

44

Sharing Profits in the Sharing Economy

Guasoni, Paolo, Wang, Gu

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 400 KB

english, 2018

45

Shortfall aversion

Guasoni, Paolo, Huberman, Gur, Ren, Dan

Journal:

Mathematical Finance

Year:

2020

File:

PDF, 1.06 MB

2020

46

Abstract, classic, and explicit turnpikes

Guasoni, Paolo, Kardaras, Constantinos, Robertson, Scott, Xing, Hao

Journal:

Finance and Stochastics

Year:

2014

Language:

english

File:

PDF, 1.20 MB

english, 2014

47

Dynamic Trading Volume

Guasoni, Paolo, Weber, Marko

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 1.28 MB

english, 2012

48

Investing with Liquid and Illiquid Assets

Bichuch, Maxim, Guasoni, Paolo

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 512 KB

english, 2014

49

Asset prices in segmented and integrated markets

Guasoni, Paolo, Wong, Kwok Chuen

Journal:

Finance and Stochastics

Year:

2020

File:

PDF, 1.11 MB

2020

50

The Incentives of Hedge Fund Fees and High-Water Marks

Guasoni, Paolo, Obloj, Jan K.

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 688 KB

english, 2011

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