142 citations · 274 across the 13 of their papers we have counts for
14 papers
Existence of an equilibrium with limited stock market participation and power utilities
Paolo Guasoni, Kasper Larsen, Giovanni Leoni
For constants and , we prove existence and uniqueness of a solution to the singular and path-dependent Riccati-type ODE \begin{align*} \begin{cases} h…
Minimizing the Repayment Cost of Federal Student Loans
Paolo Guasoni, Yu-Jui Huang
Federal student loans are fixed-rate debt contracts with three main special features: (i) borrowers can use income-driven schemes to make payments proportional to their income abov…
Minimal L^p-Densities with Prescribed Marginals
Paolo Guasoni, Eberhard Mayerhofer, Mingchuan Zhao
We derive sharp lower bounds for L^p-functions on the n-dimensional unit hypercube in terms of their p-th marginal moments. Such bounds are the unique solutions of a system of cons…
Consumption, Investment, and Healthcare with Aging
Paolo Guasoni, Yu-Jui Huang
This paper solves the problem of optimal dynamic consumption, investment, and healthcare spending with isoelastic utility, when natural mortality grows exponentially to reflect Gom…
Hedging, arbitrage and optimality with superlinear frictions
Paolo Guasoni, Miklós Rásonyi
In a continuous-time model with multiple assets described by càdlàg processes, this paper characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies…
The Limits of Leverage
Paolo Guasoni, Eberhard Mayerhofer
When trading incurs proportional costs, leverage can scale an asset's return only up to a maximum multiple, which is sensitive to its volatility and liquidity. In a model with one…
Robust Portfolios and Weak Incentives in Long-Run Investments
Paolo Guasoni, Johannes Muhle-Karbe, Hao Xing
When the planning horizon is long, and the safe asset grows indefinitely, isoelastic portfolios are nearly optimal for investors who are close to isoelastic for high wealth, and no…
Hedge and Mutual Funds' Fees and the Separation of Private Investments
Paolo Guasoni, Gu Wang
A fund manager invests both the fund's assets and own private wealth in separate but potentially correlated risky assets, aiming to maximize expected utility from private wealth in…
Portfolio Choice with Transaction Costs: a User's Guide
Paolo Guasoni, Johannes Muhle-Karbe
Recent progress in portfolio choice has made a wide class of problems involving transaction costs tractable. We review the basic approach to these problems, and outline some direct…
Portfolios and risk premia for the long run
Paolo Guasoni, Scott Robertson
This paper develops a method to derive optimal portfolios and risk premia explicitly in a general diffusion model for an investor with power utility and a long horizon. The market…
Long Horizons, High Risk Aversion, and Endogeneous Spreads
Paolo Guasoni, Johannes Muhle-Karbe
For an investor with constant absolute risk aversion and a long horizon, who trades in a market with constant investment opportunities and small proportional transaction costs, we…
Transaction Costs, Trading Volume, and the Liquidity Premium
Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe +1
In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities, and constant relative risk aversion trades with small proportiona…
Abstract, Classic, and Explicit Turnpikes
Paolo Guasoni, Constantinos Kardaras, Scott Robertson +1
Portfolio turnpikes state that, as the investment horizon increases, optimal portfolios for generic utilities converge to those of isoelastic utilities. This paper proves three kin…
Consistent price systems and face-lifting pricing under transaction costs
Paolo Guasoni, Miklós Rásonyi, Walter Schachermayer
In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has condi…