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Asset prices in segmented and integrated markets

Guasoni, Paolo; Wong, Kwok Chuen - In: Finance and stochastics 24 (2020) 4, pp. 939-980

Persistent link: https://www.econbiz.de/10012518130

Asset Prices in Segmented and Integrated Markets

Guasoni, Paolo - 2018

This paper evaluates the effect of market integration on prices and welfare, in a model where two Lucas trees grow in separate regions with similar investors. We find equilibrium asset price dynamics and welfare both in segmentation, when each region holds its own asset and consumes its...

Persistent link: https://www.econbiz.de/10012919749

A paradox in time-consistency in the mean-variance problem?

Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip - In: Finance and stochastics 23 (2019) 1, pp. 173-207

Persistent link: https://www.econbiz.de/10012023708

Asymmetric information in fads models

Guasoni, Paolo - In: Finance and stochastics 10 (2006) 2, pp. 159-177

Persistent link: https://www.econbiz.de/10003334913

No arbitrage under transaction costs, with fractional Brownian motion and beyond

Guasoni, Paolo - In: Mathematical finance : an international journal of … 16 (2006) 3, pp. 569-582

Persistent link: https://www.econbiz.de/10003338701

Risk minimization under transaction costs

Guasoni, Paolo - In: Finance and stochastics 6 (2002) 1, pp. 91-113

Persistent link: https://www.econbiz.de/10001643757

The limits of leverage

Guasoni, Paolo; Mayerhofer, Eberhard - In: Mathematical Finance 29 (2018) 1, pp. 249-284

Persistent link: https://www.econbiz.de/10012095144

Who should sell stocks?

Guasoni, Paolo; Liu, Ren; Muhle‐Karbe, Johannes - In: Mathematical Finance 29 (2018) 2, pp. 448-482

Persistent link: https://www.econbiz.de/10012095151

Nonlinear price impact and portfolio choice

Guasoni, Paolo; Weber, Marko Hans - In: Mathematical Finance 30 (2020) 2, pp. 341-376

Persistent link: https://www.econbiz.de/10012192411

Shortfall aversion

Guasoni, Paolo; Huberman, Gur; Ren, Dan - In: Mathematical Finance 30 (2020) 3, pp. 869-920

Persistent link: https://www.econbiz.de/10012283186

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