142 citations · 274 across the 13 of their papers we have counts for
Showing 2015Show all
2 papers · 1 filter
q-fin.PR2015★ 25 cited
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…
q-fin.PM2015★ 8 cited
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…