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Author ID: guasoni.paolo Recent zbMATH articles by "Guasoni, Paolo"
Published as: Guasoni, Paolo; Guasoni, P.
External Links: ORCID · dblp

Publications by Year

Citations contained in zbMATH Open

45 Publications have been cited 610 times in 414 Documents Cited by Year
No arbitrage under transaction costs, with fractional Brownian motion and beyond. Zbl 1133.91421
Guasoni, Paolo
74
2006
Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
67
2008
The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
50
2010
Transaction costs, trading volume, and the liquidity premium. Zbl 1305.91218
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter
44
2014
The fundamental theorem of asset pricing under transaction costs. Zbl 1262.91126
Guasoni, Paolo; Lépinette, Emmanuel; Rásonyi, Miklós
35
2012
Portfolios and risk premia for the long run. Zbl 1247.91172
Guasoni, Paolo; Robertson, Scott
29
2012
Optimal investment with transaction costs and without semimartingales. Zbl 1016.60065
Guasoni, Paolo
28
2002
Optimal importance sampling with explicit formulas in continuous time. Zbl 1150.91019
Guasoni, Paolo; Robertson, Scott
23
2008
Mean-variance hedging for stochastic volatility models. Zbl 1014.91039
Biagini, Francesca; Guasoni, Paolo; Pratelli, Maurizio
22
2000
Super-replication and utility maximization in large financial markets. Zbl 1081.60051
De Donno, M.; Guasoni, P.; Pratelli, M.
20
2005
Shape optimization problems over classes of convex domains. Zbl 0921.49030
Buttazzo, Giuseppe; Guasoni, Paolo
19
1997
Hedging, arbitrage and optimality with superlinear frictions. Zbl 1403.91311
Guasoni, Paolo; Rásonyi, Miklós
19
2015
Portfolio choice with transaction costs: a user’s guide. Zbl 1275.91122
Guasoni, Paolo; Muhle-Karbe, Johannes
18
2013
The incentives of hedge fund fees and high-water marks. Zbl 1348.91254
Guasoni, Paolo; Obłój, Jan
16
2016
Fragility of arbitrage and bubbles in local martingale diffusion models. Zbl 1310.91068
Guasoni, Paolo; Rásonyi, Miklós
15
2015
Long horizons, high risk aversion, and endogenous spreads. Zbl 1418.91472
Guasoni, Paolo; Muhle-Karbe, Johannes
14
2015
Asymmetric information in fads models. Zbl 1101.60047
Guasoni, Paolo
10
2006
Risk minimization under transaction costs. Zbl 1007.91021
Guasoni, Paolo
10
2002
Nonlinear price impact and portfolio choice. Zbl 1508.91502
Guasoni, Paolo; Weber, Marko Hans
9
2020
Rebalancing multiple assets with mutual price impact. Zbl 1418.91473
Guasoni, Paolo; Weber, Marko H.
8
2018
Shortfall aversion. Zbl 1508.91501
Guasoni, Paolo; Huberman, Gur; Ren, Dan
8
2020
Investing with liquid and illiquid assets. Zbl 1403.91306
Bichuch, Maxim; Guasoni, Paolo
8
2018
Static fund separation of long-term investments. Zbl 1331.91164
Guasoni, Paolo; Robertson, Scott
7
2015
Abstract, classic, and explicit turnpikes. Zbl 1303.91157
Guasoni, Paolo; Kardaras, Constantinos; Robertson, Scott; Xing, Hao
7
2014
Trading fractional Brownian motion. Zbl 1429.91290
Guasoni, Paolo; Nika, Zsolt; Rásonyi, MiklóS
6
2019
Mean-variance hedging with random volatility jumps. Zbl 1035.91028
Biagini, Francesca; Guasoni, Paolo
4
2002
Hedge and mutual funds’ fees and the separation of private investments. Zbl 1336.91065
Guasoni, Paolo; Wang, Gu
4
2015
Who should sell stocks? Zbl 1411.91502
Guasoni, Paolo; Liu, Ren; Muhle-Karbe, Johannes
4
2019
The limits of leverage. Zbl 1411.91503
Guasoni, Paolo; Mayerhofer, Eberhard
4
2019
Relaxed utility maximization in complete markets. Zbl 1252.91076
Biagini, Sara; Guasoni, Paolo
3
2011
Consumption, investment and healthcare with aging. Zbl 1411.91365
Guasoni, Paolo; Huang, Yu-Jui
3
2019
Should commodity investors follow commodities’ prices? Zbl 1417.91451
Guasoni, Paolo; Tolomeo, Antonella; Wang, Gu
3
2019
High-frequency trading with fractional Brownian motion. Zbl 1461.91300
Guasoni, Paolo; Mishura, Yuliya; Rásonyi, Miklós
3
2021
Dynamic trading volume. Zbl 07842761
Guasoni, Paolo; Weber, Marko
3
2017
Some problems of shape optimization arising in stationary fluid motion. Zbl 1058.49033
Berselli, Luigi C.; Guasoni, Paolo
2
2004
Consumption in incomplete markets. Zbl 1435.91179
Guasoni, Paolo; Wang, Gu
2
2020
Consumption and investment with interest rate risk. Zbl 1411.91504
Guasoni, Paolo; Wang, Gu
2
2019
Paris-Princeton lectures on mathematical finance 2013. Zbl 1270.91003
1
2013
Necessary conditions for the existence of utility maximizing strategies under transaction costs. Zbl 1124.91336
Guasoni, Paolo; Schachermayer, Walter
1
2004
The learning premium. Zbl 1469.91048
Bichuch, Maxim; Guasoni, Paolo
1
2020
Reference dependence and market participation. Zbl 1434.91059
Guasoni, Paolo; Meireles-Rodrigues, Andrea
1
2020
Asset prices in segmented and integrated markets. Zbl 1452.91317
Guasoni, Paolo; Wong, Kwok Chuen
1
2020
Robust portfolios and weak incentives in long-run investments. Zbl 1414.91339
Guasoni, Paolo; Muhle-Karbe, Johannes; Xing, Hao
1
2017
Technical note: Options portfolio selection. Zbl 1455.91235
Guasoni, Paolo; Mayerhofer, Eberhard
1
2020
Short communication: American student loans: repayment and valuation. Zbl 1465.91122
Guasoni, Paolo; Huang, Yu-Jui; Khalili, Saeed
1
2021
High-frequency trading with fractional Brownian motion. Zbl 1461.91300
Guasoni, Paolo; Mishura, Yuliya; Rásonyi, Miklós
3
2021
Short communication: American student loans: repayment and valuation. Zbl 1465.91122
Guasoni, Paolo; Huang, Yu-Jui; Khalili, Saeed
1
2021
Nonlinear price impact and portfolio choice. Zbl 1508.91502
Guasoni, Paolo; Weber, Marko Hans
9
2020
Shortfall aversion. Zbl 1508.91501
Guasoni, Paolo; Huberman, Gur; Ren, Dan
8
2020
Consumption in incomplete markets. Zbl 1435.91179
Guasoni, Paolo; Wang, Gu
2
2020
The learning premium. Zbl 1469.91048
Bichuch, Maxim; Guasoni, Paolo
1
2020
Reference dependence and market participation. Zbl 1434.91059
Guasoni, Paolo; Meireles-Rodrigues, Andrea
1
2020
Asset prices in segmented and integrated markets. Zbl 1452.91317
Guasoni, Paolo; Wong, Kwok Chuen
1
2020
Technical note: Options portfolio selection. Zbl 1455.91235
Guasoni, Paolo; Mayerhofer, Eberhard
1
2020
Trading fractional Brownian motion. Zbl 1429.91290
Guasoni, Paolo; Nika, Zsolt; Rásonyi, MiklóS
6
2019
Who should sell stocks? Zbl 1411.91502
Guasoni, Paolo; Liu, Ren; Muhle-Karbe, Johannes
4
2019
The limits of leverage. Zbl 1411.91503
Guasoni, Paolo; Mayerhofer, Eberhard
4
2019
Consumption, investment and healthcare with aging. Zbl 1411.91365
Guasoni, Paolo; Huang, Yu-Jui
3
2019
Should commodity investors follow commodities’ prices? Zbl 1417.91451
Guasoni, Paolo; Tolomeo, Antonella; Wang, Gu
3
2019
Consumption and investment with interest rate risk. Zbl 1411.91504
Guasoni, Paolo; Wang, Gu
2
2019
Rebalancing multiple assets with mutual price impact. Zbl 1418.91473
Guasoni, Paolo; Weber, Marko H.
8
2018
Investing with liquid and illiquid assets. Zbl 1403.91306
Bichuch, Maxim; Guasoni, Paolo
8
2018
Dynamic trading volume. Zbl 07842761
Guasoni, Paolo; Weber, Marko
3
2017
Robust portfolios and weak incentives in long-run investments. Zbl 1414.91339
Guasoni, Paolo; Muhle-Karbe, Johannes; Xing, Hao
1
2017
The incentives of hedge fund fees and high-water marks. Zbl 1348.91254
Guasoni, Paolo; Obłój, Jan
16
2016
Hedging, arbitrage and optimality with superlinear frictions. Zbl 1403.91311
Guasoni, Paolo; Rásonyi, Miklós
19
2015
Fragility of arbitrage and bubbles in local martingale diffusion models. Zbl 1310.91068
Guasoni, Paolo; Rásonyi, Miklós
15
2015
Long horizons, high risk aversion, and endogenous spreads. Zbl 1418.91472
Guasoni, Paolo; Muhle-Karbe, Johannes
14
2015
Static fund separation of long-term investments. Zbl 1331.91164
Guasoni, Paolo; Robertson, Scott
7
2015
Hedge and mutual funds’ fees and the separation of private investments. Zbl 1336.91065
Guasoni, Paolo; Wang, Gu
4
2015
Transaction costs, trading volume, and the liquidity premium. Zbl 1305.91218
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter
44
2014
Abstract, classic, and explicit turnpikes. Zbl 1303.91157
Guasoni, Paolo; Kardaras, Constantinos; Robertson, Scott; Xing, Hao
7
2014
Portfolio choice with transaction costs: a user’s guide. Zbl 1275.91122
Guasoni, Paolo; Muhle-Karbe, Johannes
18
2013
Paris-Princeton lectures on mathematical finance 2013. Zbl 1270.91003
1
2013
The fundamental theorem of asset pricing under transaction costs. Zbl 1262.91126
Guasoni, Paolo; Lépinette, Emmanuel; Rásonyi, Miklós
35
2012
Portfolios and risk premia for the long run. Zbl 1247.91172
Guasoni, Paolo; Robertson, Scott
29
2012
Relaxed utility maximization in complete markets. Zbl 1252.91076
Biagini, Sara; Guasoni, Paolo
3
2011
The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
50
2010
Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
67
2008
Optimal importance sampling with explicit formulas in continuous time. Zbl 1150.91019
Guasoni, Paolo; Robertson, Scott
23
2008
No arbitrage under transaction costs, with fractional Brownian motion and beyond. Zbl 1133.91421
Guasoni, Paolo
74
2006
Asymmetric information in fads models. Zbl 1101.60047
Guasoni, Paolo
10
2006
Super-replication and utility maximization in large financial markets. Zbl 1081.60051
De Donno, M.; Guasoni, P.; Pratelli, M.
20
2005
Some problems of shape optimization arising in stationary fluid motion. Zbl 1058.49033
Berselli, Luigi C.; Guasoni, Paolo
2
2004
Necessary conditions for the existence of utility maximizing strategies under transaction costs. Zbl 1124.91336
Guasoni, Paolo; Schachermayer, Walter
1
2004
Optimal investment with transaction costs and without semimartingales. Zbl 1016.60065
Guasoni, Paolo
28
2002
Risk minimization under transaction costs. Zbl 1007.91021
Guasoni, Paolo
10
2002
Mean-variance hedging with random volatility jumps. Zbl 1035.91028
Biagini, Francesca; Guasoni, Paolo
4
2002
Mean-variance hedging for stochastic volatility models. Zbl 1014.91039
Biagini, Francesca; Guasoni, Paolo; Pratelli, Maurizio
22
2000
Shape optimization problems over classes of convex domains. Zbl 0921.49030
Buttazzo, Giuseppe; Guasoni, Paolo
19
1997
all top 5

Cited by 506 Authors

29 Guasoni, Paolo
24 Rásonyi, Miklós
23 Muhle-Karbe, Johannes
14 Lépinette, Emmanuel
13 Dolinsky, Yan
10 Robertson, Scott
10 Schachermayer, Walter
8 Bank, Peter
8 Kallsen, Jan
7 Bayraktar, Erhan
7 Herdegen, Martin
6 Fouque, Jean-Pierre
6 Sayit, Hasanjan
6 Soner, Halil Mete
6 Tindel, Samy
6 Wang, Gu
5 Biagini, Francesca
5 Bouchard, Bruno
5 Buckley, Winston S.
5 Campi, Luciano
5 Chau, Huy N.
5 Hobson, David Graham
5 Hu, Ruimeng
5 Kardaras, Constantinos
5 Mostovyi, Oleksii
5 Pakkanen, Mikko S.
5 Tankov, Peter
5 Xing, Hao
5 Yang, Junjian
4 Bender, Christian
4 Bichuch, Maxim
4 Czichowsky, Christoph
4 Gerhold, Stefan
4 Klein, Irene
4 Madan, Dilip B.
4 Park, Hyungbin
4 Pennanen, Teemu
4 Perez-Ostafe, Lavinia
4 Sircar, Ronnie
4 Weber, Marko Hans
3 Belak, Christoph
3 Benth, Fred Espen
3 Cass, Thomas Richard
3 Cayé, Thomas
3 Černý, Aleš
3 Chen, Xinfu
3 Cordero, Fernando
3 Dai, Min
3 Ekren, Ibrahim
3 Huang, Yu-Jui
3 Jiang, Yiming
3 Kuhn, Christoph
3 Li, Xun
3 Lin, Yiqing
3 Liu, Guangying
3 Liu, Ren
3 Long, Hongwei
3 Mayerhofer, Eberhard
3 Obloj, Jan K.
3 Perkkiö, Ari-Pekka
3 Pirjol, Dan
3 Plakhov, A. Yu
3 Platen, Eckhard
3 Sîrbu, Mihai
3 Sottinen, Tommi
3 Stettner, Łukasz
3 Zheng, Harry H.
3 Zhu, Lingjiong
3 Zhu, Yeqi
2 Altarovici, Albert
2 Aurand, Joshua
2 Babaei, Esmaeil
2 Bálint, Dániel Ágoston
2 Barndorff-Nielsen, Ole Eiler
2 Bartels, Sören
2 Bian, Baojun
2 Carassus, Laurence
2 Choi, Jin Hyuk
2 Choulli, Tahir
2 Christensen, Soren
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 Fukasawa, Masaaki
2 Garcin, Matthieu
2 Gu, Lingqi
2 He, Xuedong
2 Henderson, Vicky
2 Herczegh, Attila
2 Herrmann, Sebastian
2 Howell, Sydney D.
2 Hu, Yaozhong
2 Jacquier, Antoine
2 Johnson, Paul V.
2 Kabanov, Yuriĭ Mikhaĭlovich
...and 406 more Authors
all top 5

Cited in 112 Serials

50 Mathematical Finance
46 Finance and Stochastics
24 SIAM Journal on Financial Mathematics
19 The Annals of Applied Probability
16 Mathematics and Financial Economics
15 Stochastic Processes and their Applications
15 International Journal of Theoretical and Applied Finance
13 Quantitative Finance
12 Stochastics
10 Journal of Applied Probability
10 Stochastic Analysis and Applications
9 Applied Mathematics and Optimization
8 SIAM Journal on Control and Optimization
8 Annals of Finance
6 Journal of Mathematical Analysis and Applications
6 European Journal of Operational Research
5 Advances in Applied Probability
5 Theory of Probability and its Applications
5 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
3 Frontiers of Mathematical Finance
2 Computers & Mathematics with Applications
2 Mathematical Methods in the Applied Sciences
2 Physica A
2 Applied Mathematics and Computation
2 Journal of Computational and Applied Mathematics
2 Journal of Econometrics
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 Journal of Dynamical and Control Systems
2 Decisions in Economics and Finance
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 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 Czechoslovak Mathematical Journal
1 International Journal of Mathematics and Mathematical Sciences
1 Journal of Differential Equations
1 Journal of Economic Theory
1 Journal of the Korean Mathematical Society
1 Kyungpook Mathematical Journal
1 Mathematics and Computers in Simulation
1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
1 Numerische Mathematik
1 Operations Research
1 Proceedings of the American Mathematical Society
1 Transactions of the American Mathematical Society
1 Bulletin of the Korean Mathematical Society
1 Operations Research Letters
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 Journal of Statistical Computation and Simulation
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 Electronic Journal of Differential Equations (EJDE)
1 Computational and Applied Mathematics
1 Journal of Convex Analysis
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 Nonlinear Dynamics
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 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
...and 12 more Serials

Citations by Year