1. ERC Starting Grant 2011 –Market Frictions in Mathematical Finance Goal: Make Frictions Mainstream –Trading is costly –Fees and Taxes matter –Investors are not managers Paolo Guasoni

2. Classical Finance Theory –Perfect markets Trading is costless Owners are managers Same price to buy and sell, and for any quantity –Main messages Rebalance to keep portfolio weights constant Investors only need to trade two funds Arbitrarily high returns are possible

3. The Limits of Leverage Returns finite with trading costs Leveraged ETFs Transaction Taxes (Guasoni and Mayerhofer, 2014) Paolo Guasoni

4. Who Should Sell Stocks? Dividends and trading costs One-way rebalancing Never sell if risk-tolerant (Guasoni, Muhle-Karbe, and Liu 2014) Paolo Guasoni