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