2018 (with A. Atmaz) 

2018 (with G. Chabakauri and D. Yavuz) 

2018 (with D. Makarov, A. Shapiro, M. Subrahmanyam) 
 
A Theory of Model Sophistication and Operational Risk
2017 (with A. Buffa) 

2015, 103, 1728-1758 (with D Makarov)
2010 (with A. Pavlova) 

Publications :

Journal of Financial Economics, 2018, forthcoming  (with A. Atmaz) 

Journal of Finance, 2018,  73, 1225-1279  (with A. Atmaz)  (Internet Appendix)

Journal of Finance, 2016, 71, 1511-1556 (with A. Pavlova)
 
Strategic Asset Allocation in Money Management
Journal of Finance, 2014, 69, 179-217 (with D. Makarov) 

American Economic Review, 2013, 103, 1728-1758 (with A. Pavlova) 
Review of Financial Studies, 2012, 25, 1845-1896 (with G. Chabakauri)

Journal of Financial Economics, 2012, 103, 377-392 (with D. Makarov)
Review of Economic Studies, 2010, 77, 914-936 (with H. Yan)
Note: There is an earlier version with an alternative preference-based formulation
Review of Financial Studies, 2010, 23, 2970-3016 (with G. Chabakauri)
Journal of Economic Theory, 2008, 142, 100-127 (with D. Cass, J.M. Licari and A. Pavlova)
Journal of Banking and Finance, 2008, 32, 1882-1993 (with A. Pavlova and A. Shapiro)
Review of Financial Studies, 2007, 20, 1583-1621 (with A.Pavlova and A. Shapiro)
Journal of International Economics, 2007, 71, 267-293 (with B. Croitoru)
Journal of Financial Economics, 2006, 81, 143-173 (with B Croitoru)
Management Science, 2006, 52, 542-557 (with A. Shapiro and L. Tepla)
Journal of Banking and Finance, 2005, 29, 2849-2881

Journal of Business, 2005, 78, 1215-1266 (with A. Shapiro)
Economic Theory, 2004, 24, 503-530 (with A. Pavlova)
European Finance Review, 2003, 7, 121-159 (with M Gallmeyer)
Journal of Economic Dynamics and Control, 2002, 26, 1217-1241
Review of Financial Studies, 2001, 14, 371-405 (with A. Shapiro)
Journal of Mathematical Economics, 2001, 35, 347-382 (with B. Croitoru)
Review of Financial Studies, 2000, 13, 715-748 (with B. Croitoru)
Journal of Economic Dynamics and Control, 2000, 24, 63-95
Journal of Economic Dynamics and Control, 1999, 23, 1029-1064
Mathematical Finance, 1999, 9, 1-30 (with M. Gallmeyer)
Review of Financial Studies, 1998, 11, 309-341 (with D. Cuoco)
Economic Theory, 1997, 10, 437-462
Journal of Financial and Quantitative Analysis, 1996, 31, 161-188
Review of Financial Studies, 1995, 8, 1059-1090