Edit Profile (opens in new tab) Guasoni, Paolo Compute Distance To: Compute Author ID: guasoni.paolo Published as: Guasoni, Paolo; Guasoni, P. External Links: ORCID · dblp Documents Indexed: 49 Publications since 1997 1 Further Contribution Co-Authors: 31 Co-Authors with 44 Joint Publications 713 Co-Co-Authors all top 5 Co-Authors 6 single-authored 7 Rásonyi, Miklós 6 Muhle-Karbe, Johannes 5 Wang, Gu 4 Mayerhofer, Eberhard 4 Robertson, Scott 4 Schachermayer, Walter 3 Huang, Yu-Jui 2 Biagini, Francesca 2 Bichuch, Maxim 2 Pratelli, Maurizio 2 Weber, Marko Hans 2 Xing, Hao 1 Benth, Fred Espen 1 Bernardinelli, Luca 1 Berselli, Luigi Carlo 1 Biagini, Sara 1 Buttazzo, Giuseppe 1 Crisan, Dan O. 1 De Donno, Marzia 1 Gerhold, Stefan 1 Henderson, Vicky 1 Huberman, Gur 1 Kardaras, Constantinos 1 Khalili, Saeed 1 Lépinette, Emmanuel 1 Liu, Ren 1 Manolarakis, Konstantinos 1 Meireles-Rodrigues, Andrea 1 Mishura, Yuliya Stepanivna 1 Nee, Colm 1 Nika, Zsolt 1 Obloj, Jan K. 1 Protter, Philip Elliott 1 Ren, Dan 1 Sircar, Ronnie 1 Tolomeo, Antonella 1 Wong, Kwok Chuen 1 Zhao, Mingchuan all top 5 Serials 12 Finance and Stochastics 12 Mathematical Finance 4 The Annals of Applied Probability 3 SIAM Journal on Financial Mathematics 2 Mathematics and Financial Economics 1 Journal of Mathematical Analysis and Applications 1 Journal of Optimization Theory and Applications 1 Mathematics of Operations Research 1 Operations Research 1 SIAM Journal on Control and Optimization 1 Stochastic Analysis and Applications 1 Statistics & Decisions 1 SIAM Review 1 Stochastic Processes and their Applications 1 Advances in Mathematical Sciences and Applications 1 Journal of Convex Analysis 1 Bernoulli 1 Quantitative Finance 1 Lecture Notes in Mathematics 1 Annals of Finance all top 5 Fields 47 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 19 Probability theory and stochastic processes (60-XX) 5 Statistics (62-XX) 4 Systems theory; control (93-XX) 3 Calculus of variations and optimal control; optimization (49-XX) 2 General and overarching topics; collections (00-XX) 1 Real functions (26-XX) 1 Partial differential equations (35-XX) 1 Integral equations (45-XX) 1 Functional analysis (46-XX) 1 Numerical analysis (65-XX) 1 Fluid mechanics (76-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 40 Publications have been cited 505 times in 346 Documents Cited by ▼ Year ▼ No arbitrage under transaction costs, with fractional Brownian motion and beyond. Zbl 1133.91421Guasoni, Paolo 67 2006 Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter 61 2008 The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter 46 2010 Transaction costs, trading volume, and the liquidity premium. Zbl 1305.91218Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter 34 2014 The fundamental theorem of asset pricing under transaction costs. Zbl 1262.91126Guasoni, Paolo; Lépinette, Emmanuel; Rásonyi, Miklós 29 2012 Optimal investment with transaction costs and without semimartingales. Zbl 1016.60065Guasoni, Paolo 24 2002 Mean-variance hedging for stochastic volatility models. Zbl 1014.91039Biagini, Francesca; Guasoni, Paolo; Pratelli, Maurizio 22 2000 Portfolios and risk premia for the long run. Zbl 1247.91172Guasoni, Paolo; Robertson, Scott 22 2012 Optimal importance sampling with explicit formulas in continuous time. Zbl 1150.91019Guasoni, Paolo; Robertson, Scott 21 2008 Super-replication and utility maximization in large financial markets. Zbl 1081.60051De Donno, M.; Guasoni, P.; Pratelli, M. 20 2005 Portfolio choice with transaction costs: a user’s guide. Zbl 1275.91122Guasoni, Paolo; Muhle-Karbe, Johannes 16 2013 Shape optimization problems over classes of convex domains. Zbl 0921.49030Buttazzo, Giuseppe; Guasoni, Paolo 15 1997 The incentives of hedge fund fees and high-water marks. Zbl 1348.91254Guasoni, Paolo; Obłój, Jan 15 2016 Hedging, arbitrage and optimality with superlinear frictions. Zbl 1403.91311Guasoni, Paolo; Rásonyi, Miklós 13 2015 Fragility of arbitrage and bubbles in local martingale diffusion models. Zbl 1310.91068Guasoni, Paolo; Rásonyi, Miklós 11 2015 Risk minimization under transaction costs. Zbl 1007.91021Guasoni, Paolo 11 2002 Asymmetric information in fads models. Zbl 1101.60047Guasoni, Paolo 9 2006 Long horizons, high risk aversion, and endogenous spreads. Zbl 1418.91472Guasoni, Paolo; Muhle-Karbe, Johannes 8 2015 Abstract, classic, and explicit turnpikes. Zbl 1303.91157Guasoni, Paolo; Kardaras, Constantinos; Robertson, Scott; Xing, Hao 6 2014 Static fund separation of long-term investments. Zbl 1331.91164Guasoni, Paolo; Robertson, Scott 6 2015 Rebalancing multiple assets with mutual price impact. Zbl 1418.91473Guasoni, Paolo; Weber, Marko H. 5 2018 Trading fractional Brownian motion. Zbl 1429.91290Guasoni, Paolo; Nika, Zsolt; Rásonyi, MiklóS 4 2019 Hedge and mutual funds’ fees and the separation of private investments. Zbl 1336.91065Guasoni, Paolo; Wang, Gu 4 2015 Shortfall aversion. Zbl 07326771Guasoni, Paolo; Huberman, Gur; Ren, Dan 4 2020 Mean-variance hedging with random volatility jumps. Zbl 1035.91028Biagini, Francesca; Guasoni, Paolo 4 2002 Nonlinear price impact and portfolio choice. Zbl 07200938Guasoni, Paolo; Weber, Marko Hans 4 2020 Who should sell stocks? Zbl 1411.91502Guasoni, Paolo; Liu, Ren; Muhle-Karbe, Johannes 3 2019 Relaxed utility maximization in complete markets. Zbl 1252.91076Biagini, Sara; Guasoni, Paolo 3 2011 Consumption and investment with interest rate risk. Zbl 1411.91504Guasoni, Paolo; Wang, Gu 2 2019 Consumption, investment and healthcare with aging. Zbl 1411.91365Guasoni, Paolo; Huang, Yu-Jui 2 2019 The limits of leverage. Zbl 1411.91503Guasoni, Paolo; Mayerhofer, Eberhard 2 2019 Investing with liquid and illiquid assets. Zbl 1403.91306Bichuch, Maxim; Guasoni, Paolo 2 2018 Some problems of shape optimization arising in stationary fluid motion. Zbl 1058.49033Berselli, Luigi C.; Guasoni, Paolo 2 2004 Consumption in incomplete markets. Zbl 1435.91179Guasoni, Paolo; Wang, Gu 2 2020 Technical note: Options portfolio selection. Zbl 1455.91235Guasoni, Paolo; Mayerhofer, Eberhard 1 2020 High-frequency trading with fractional Brownian motion. Zbl 1461.91300Guasoni, Paolo; Mishura, Yuliya; Rásonyi, Miklós 1 2021 Short communication: American student loans: repayment and valuation. Zbl 1465.91122Guasoni, Paolo; Huang, Yu-Jui; Khalili, Saeed 1 2021 Necessary conditions for the existence of utility maximizing strategies under transaction costs. Zbl 1124.91336Guasoni, Paolo; Schachermayer, Walter 1 2004 Robust portfolios and weak incentives in long-run investments. Zbl 1414.91339Guasoni, Paolo; Muhle-Karbe, Johannes; Xing, Hao 1 2017 The learning premium. Zbl 1469.91048Bichuch, Maxim; Guasoni, Paolo 1 2020 High-frequency trading with fractional Brownian motion. Zbl 1461.91300Guasoni, Paolo; Mishura, Yuliya; Rásonyi, Miklós 1 2021 Short communication: American student loans: repayment and valuation. Zbl 1465.91122Guasoni, Paolo; Huang, Yu-Jui; Khalili, Saeed 1 2021 Shortfall aversion. Zbl 07326771Guasoni, Paolo; Huberman, Gur; Ren, Dan 4 2020 Nonlinear price impact and portfolio choice. Zbl 07200938Guasoni, Paolo; Weber, Marko Hans 4 2020 Consumption in incomplete markets. Zbl 1435.91179Guasoni, Paolo; Wang, Gu 2 2020 Technical note: Options portfolio selection. Zbl 1455.91235Guasoni, Paolo; Mayerhofer, Eberhard 1 2020 The learning premium. Zbl 1469.91048Bichuch, Maxim; Guasoni, Paolo 1 2020 Trading fractional Brownian motion. Zbl 1429.91290Guasoni, Paolo; Nika, Zsolt; Rásonyi, MiklóS 4 2019 Who should sell stocks? Zbl 1411.91502Guasoni, Paolo; Liu, Ren; Muhle-Karbe, Johannes 3 2019 Consumption and investment with interest rate risk. Zbl 1411.91504Guasoni, Paolo; Wang, Gu 2 2019 Consumption, investment and healthcare with aging. Zbl 1411.91365Guasoni, Paolo; Huang, Yu-Jui 2 2019 The limits of leverage. Zbl 1411.91503Guasoni, Paolo; Mayerhofer, Eberhard 2 2019 Rebalancing multiple assets with mutual price impact. Zbl 1418.91473Guasoni, Paolo; Weber, Marko H. 5 2018 Investing with liquid and illiquid assets. Zbl 1403.91306Bichuch, Maxim; Guasoni, Paolo 2 2018 Robust portfolios and weak incentives in long-run investments. Zbl 1414.91339Guasoni, Paolo; Muhle-Karbe, Johannes; Xing, Hao 1 2017 The incentives of hedge fund fees and high-water marks. Zbl 1348.91254Guasoni, Paolo; Obłój, Jan 15 2016 Hedging, arbitrage and optimality with superlinear frictions. Zbl 1403.91311Guasoni, Paolo; Rásonyi, Miklós 13 2015 Fragility of arbitrage and bubbles in local martingale diffusion models. Zbl 1310.91068Guasoni, Paolo; Rásonyi, Miklós 11 2015 Long horizons, high risk aversion, and endogenous spreads. Zbl 1418.91472Guasoni, Paolo; Muhle-Karbe, Johannes 8 2015 Static fund separation of long-term investments. Zbl 1331.91164Guasoni, Paolo; Robertson, Scott 6 2015 Hedge and mutual funds’ fees and the separation of private investments. Zbl 1336.91065Guasoni, Paolo; Wang, Gu 4 2015 Transaction costs, trading volume, and the liquidity premium. Zbl 1305.91218Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter 34 2014 Abstract, classic, and explicit turnpikes. Zbl 1303.91157Guasoni, Paolo; Kardaras, Constantinos; Robertson, Scott; Xing, Hao 6 2014 Portfolio choice with transaction costs: a user’s guide. Zbl 1275.91122Guasoni, Paolo; Muhle-Karbe, Johannes 16 2013 The fundamental theorem of asset pricing under transaction costs. Zbl 1262.91126Guasoni, Paolo; Lépinette, Emmanuel; Rásonyi, Miklós 29 2012 Portfolios and risk premia for the long run. Zbl 1247.91172Guasoni, Paolo; Robertson, Scott 22 2012 Relaxed utility maximization in complete markets. Zbl 1252.91076Biagini, Sara; Guasoni, Paolo 3 2011 The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter 46 2010 Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter 61 2008 Optimal importance sampling with explicit formulas in continuous time. Zbl 1150.91019Guasoni, Paolo; Robertson, Scott 21 2008 No arbitrage under transaction costs, with fractional Brownian motion and beyond. Zbl 1133.91421Guasoni, Paolo 67 2006 Asymmetric information in fads models. Zbl 1101.60047Guasoni, Paolo 9 2006 Super-replication and utility maximization in large financial markets. Zbl 1081.60051De Donno, M.; Guasoni, P.; Pratelli, M. 20 2005 Some problems of shape optimization arising in stationary fluid motion. Zbl 1058.49033Berselli, Luigi C.; Guasoni, Paolo 2 2004 Necessary conditions for the existence of utility maximizing strategies under transaction costs. Zbl 1124.91336Guasoni, Paolo; Schachermayer, Walter 1 2004 Optimal investment with transaction costs and without semimartingales. Zbl 1016.60065Guasoni, Paolo 24 2002 Risk minimization under transaction costs. Zbl 1007.91021Guasoni, Paolo 11 2002 Mean-variance hedging with random volatility jumps. Zbl 1035.91028Biagini, Francesca; Guasoni, Paolo 4 2002 Mean-variance hedging for stochastic volatility models. Zbl 1014.91039Biagini, Francesca; Guasoni, Paolo; Pratelli, Maurizio 22 2000 Shape optimization problems over classes of convex domains. Zbl 0921.49030Buttazzo, Giuseppe; Guasoni, Paolo 15 1997 all cited Publications top 5 cited Publications all top 5 Cited by 431 Authors 24 Guasoni, Paolo 21 Rásonyi, Miklós 19 Muhle-Karbe, Johannes 11 Lépinette, Emmanuel 10 Dolinsky, Yan 10 Schachermayer, Walter 8 Kallsen, Jan 8 Robertson, Scott 7 Bank, Peter 6 Herdegen, Martin 6 Plakhov, A. Yu 6 Sayit, Hasanjan 6 Tindel, Samy 6 Wang, Gu 5 Bayraktar, Erhan 5 Biagini, Francesca 5 Bouchard, Bruno 5 Buckley, Winston S. 5 Campi, Luciano 5 Kardaras, Constantinos 5 Pakkanen, Mikko S. 5 Xing, Hao 5 Yang, Junjian 4 Bender, Christian 4 Czichowsky, Christoph 4 Fouque, Jean-Pierre 4 Gerhold, Stefan 4 Hobson, David Graham 4 Hu, Ruimeng 4 Klein, Irene 4 Mostovyi, Oleksii 4 Park, Hyungbin 4 Pennanen, Teemu 4 Perez-Ostafe, Lavinia 4 Soner, Halil Mete 3 Belak, Christoph 3 Benth, Fred Espen 3 Bichuch, Maxim 3 Černý, Aleš 3 Chau, Huy N. 3 Cordero, Fernando 3 Kuhn, Christoph 3 Lin, Yiqing 3 Liu, Guangying 3 Long, Hongwei 3 Madan, Dilip B. 3 Obloj, Jan K. 3 Perkkiö, Ari-Pekka 3 Sircar, Ronnie 3 Sottinen, Tommi 3 Tankov, Peter 3 Zheng, Harry H. 2 Altarovici, Albert 2 Babaei, Esmaeil 2 Bálint, Dániel Ágoston 2 Barndorff-Nielsen, Ole Eiler 2 Bartels, Sören 2 Carassus, Laurence 2 Cass, Thomas Richard 2 Cayé, Thomas 2 Choulli, Tahir 2 Cuchiero, Christa 2 Deng, Jun 2 Deya, Aurélien 2 Dolinskyi, Leonid 2 Duck, Peter W. 2 Evstigneev, Igor V. 2 Fabozzi, Frank J. 2 Fink, Holger 2 Gu, Lingqi 2 Henderson, Vicky 2 Herczegh, Attila 2 Herrmann, Sebastian 2 Howell, Sydney D. 2 Hu, Yaozhong 2 Huang, Yu-Jui 2 Jacquier, Antoine 2 Jiang, Yiming 2 Johnson, Paul V. 2 Kabanov, Yuriĭ Mikhaĭlovich 2 Krief, David 2 Li, Xun 2 Liu, Ren 2 Mainini, Edoardo 2 Mania, Michael 2 Marshall, Mario 2 Mayerhofer, Eberhard 2 Mishura, Yuliya Stepanivna 2 Neuenkirch, Andreas 2 Ohashi, Alberto Masayoshi F. 2 Panloup, Fabien 2 Percivale, Danilo 2 Perera, Sandun 2 Pham, Huyên 2 Pirjol, Dan 2 Platen, Eckhard 2 Prokaj, Vilmos 2 Rachev, Svetlozar T. 2 Ramirez, Hugo Eduardo 2 Reitsam, Thomas ...and 331 more Authors all top 5 Cited in 100 Serials 44 Finance and Stochastics 24 Mathematical Finance 20 SIAM Journal on Financial Mathematics 19 The Annals of Applied Probability 15 Stochastic Processes and their Applications 15 International Journal of Theoretical and Applied Finance 14 Mathematics and Financial Economics 11 Stochastics 10 Stochastic Analysis and Applications 9 Journal of Applied Probability 9 Quantitative Finance 8 Applied Mathematics and Optimization 8 SIAM Journal on Control and Optimization 8 Annals of Finance 6 European Journal of Operational Research 5 Theory of Probability and its Applications 4 Journal of Mathematical Analysis and Applications 4 Insurance Mathematics & Economics 4 Bernoulli 3 The Annals of Probability 3 Journal of Optimization Theory and Applications 3 Calculus of Variations and Partial Differential Equations 3 Journal of Mathematical Sciences (New York) 3 Journal of Systems Science and Complexity 2 Advances in Applied Probability 2 Computers & Mathematics with Applications 2 Statistics & Probability Letters 2 Applied Mathematical Finance 2 ACM Transactions on Modeling and Computer Simulation 2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 2 Mathematical Methods of Operations Research 2 North American Actuarial Journal 2 Review of Derivatives Research 2 International Journal of Stochastic Analysis 1 Archive for Rational Mechanics and Analysis 1 Journal of Statistical Physics 1 Mathematical Notes 1 Nonlinearity 1 Physica A 1 Bulletin of Mathematical Biology 1 Chaos, Solitons and Fractals 1 Acta Mathematica Vietnamica 1 Annals of the Institute of Statistical Mathematics 1 Annales Polonici Mathematici 1 Applied Mathematics and Computation 1 Czechoslovak Mathematical Journal 1 International Journal of Mathematics and Mathematical Sciences 1 Journal of Computational and Applied Mathematics 1 Journal of Differential Equations 1 Journal of Econometrics 1 Journal of the Korean Mathematical Society 1 Mathematics and Computers in Simulation 1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 1 Numerische Mathematik 1 Proceedings of the American Mathematical Society 1 Transactions of the American Mathematical Society 1 Bulletin of the Korean Mathematical Society 1 Journal of Time Series Analysis 1 Statistics 1 Journal of Economic Dynamics & Control 1 Journal of Theoretical Probability 1 Annals of Operations Research 1 Japan Journal of Industrial and Applied Mathematics 1 Communications in Statistics. Simulation and Computation 1 SIAM Review 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Mathematical Programming. Series A. Series B 1 SIAM Journal on Scientific Computing 1 Applied Mathematics. Series B (English Edition) 1 Applicationes Mathematicae 1 Computational and Applied Mathematics 1 Bulletin des Sciences Mathématiques 1 Electronic Journal of Probability 1 Electronic Communications in Probability 1 Revista Investigación Operacional 1 Journal of Applied Analysis 1 Statistical Inference for Stochastic Processes 1 Acta Mathematica Sinica. English Series 1 Methodology and Computing in Applied Probability 1 Brazilian Journal of Probability and Statistics 1 Scandinavian Actuarial Journal 1 Decisions in Economics and Finance 1 Acta Mathematica Scientia. Series B. (English Edition) 1 Stochastics and Dynamics 1 ASTIN Bulletin 1 Journal of Applied Mathematics and Computing 1 Multiscale Modeling & Simulation 1 Advances in Difference Equations 1 Bulletin of the Institute of Mathematics. Academia Sinica. New Series 1 Frontiers of Mathematics in China 1 Acta Universitatis Sapientiae. Mathematica 1 Science China. Mathematics 1 Journal of Probability and Statistics 1 Stochastic and Partial Differential Equations. Analysis and Computations 1 Journal of Dynamics and Games 1 Modern Stochastics. Theory and Applications 1 Journal of Elliptic and Parabolic Equations 1 Korean Journal of Mathematics 1 AIMS Mathematics 1 Frontiers of Mathematical Finance all top 5 Cited in 24 Fields 289 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 216 Probability theory and stochastic processes (60-XX) 43 Systems theory; control (93-XX) 34 Calculus of variations and optimal control; optimization (49-XX) 23 Statistics (62-XX) 23 Numerical analysis (65-XX) 19 Partial differential equations (35-XX) 13 Operations research, mathematical programming (90-XX) 5 Real functions (26-XX) 4 Functional analysis (46-XX) 3 Ordinary differential equations (34-XX) 3 Convex and discrete geometry (52-XX) 3 Biology and other natural sciences (92-XX) 2 Operator theory (47-XX) 2 Mechanics of particles and systems (70-XX) 2 Fluid mechanics (76-XX) 1 Measure and integration (28-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Approximations and expansions (41-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral transforms, operational calculus (44-XX) 1 Integral equations (45-XX) 1 Algebraic topology (55-XX) 1 Optics, electromagnetic theory (78-XX) Citations by Year