142 citations · 274 across the 13 of their papers we have counts for
7 papers · 1 filter
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…
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…