Research
Working papers :
Asset Prices, Wealth Inequality, and Taxation (with G. Chabakauri)
Meritocracy ans Asset Prices (with V. Fedyk and D. Pu)
A Theory of Model Sophistication and Operational Risk (with A. Buffa)
Competition among Portfolio Managers and Asset Specialization (with D Makarov)
A Dynamic Model with Import Quota Constraints (with A. Pavlova)
Publications :
Dynamic Equilibrium with Costly Short-Selling and Lending Market
Review of Financial Studies, 2024, 37, 444-506 (with A. Atmaz and F. Ruan)
Stock Market and No-Dividend Stocks
Journal of Finance, 2022, 77, 545-599 (with A. Atmaz)
Security Design with Status Concerns
Journal of Economic Dynamics and Control, 2020, 118, 1-18 (with D. Makarov, A. Shapiro, M. Subrahmanyam)
Investor Protection and Asset Prices
Review of Financial Studies, 2019, 32, 4905-4946, (with G. Chabakauri and D. Yavuz)
Option Prices and Costly Short-Selling
Journal of Financial Economics, 2019, 134, 1-28 (with A. Atmaz)
Belief Dispersion in the Stock Market
Journal of Finance, 2018, 73, 1225-1279 (with A. Atmaz) (Internet Appendix)
A Model of Financialization of Commodities
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)
Asset Prices and Institutional Investors
American Economic Review, 2013, 103, 1728-1758 (with A. Pavlova)
Dynamic Hedging in Incomplete Markets: A Simple Solution
Review of Financial Studies, 2012, 25, 1845-1896 (with G. Chabakauri)
Difference in Interim Performance and Risk Taking with Short-Sale Constraints
Journal of Financial Economics, 2012, 103, 377-392 (with D. Makarov)
Equilibrium Asset Prices and Investor Behavior in the presence of Money Illusion
Review of Economic Studies, 2010, 77, 914-936 (with H. Yan)
Note: There is an earlier version with an alternative preference-based formulation
Dynamic Mean-Variance Asset Allocation
Review of Financial Studies, 2010, 23, 2970-3016 (with G. Chabakauri)
Multiplicity in General Equilibrium with Portfolio Constraints
Journal of Economic Theory, 2008, 142, 100-127 (with D. Cass, J.M. Licari and A. Pavlova)
Offsetting the Implicit Incentives: Benefits of Benchmarking in Money Management
Journal of Banking and Finance, 2008, 32, 1882-1993 (with A. Pavlova and A. Shapiro)
Optimal Asset Allocation and Risk Shifting in Money Management
Review of Financial Studies, 2007, 20, 1583-1621 (with A.Pavlova and A. Shapiro)
International Good Market Segmentation and Financial Innovation
Journal of International Economics, 2007, 71, 267-293 (with B. Croitoru)
On the Role of Arbitrageurs in Rational Markets
Journal of Financial Economics, 2006, 81, 143-173 (with B Croitoru)
Risk Management with Benchmarking
Management Science, 2006, 52, 542-557 (with A. Shapiro and L. Tepla)
Asset Pricing with Heterogeneous Beliefs
Journal of Banking and Finance, 2005, 29, 2849-2881
A Model of Credit Risk, Optimal Policies, and Asset Prices
Journal of Business, 2005, 78, 1215-1266 (with A. Shapiro)
Monopoly Power and the Firm´s Vaulation: A Dynamic Analysis of Short versus Long-Term Policies
Economic Theory, 2004, 24, 503-530 (with A. Pavlova)
Capital Market Equilibrium with Differential Taxation
European Finance Review, 2003, 7, 121-159 (with M Gallmeyer)
A Comparative Study of Portfolio Insurance
Journal of Economic Dynamics and Control, 2002, 26, 1217-1241
Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
Review of Financial Studies, 2001, 14, 371-405 (with A. Shapiro)
Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices
Journal of Mathematical Economics, 2001, 35, 347-382 (with B. Croitoru)
Equilbrium Mispricing in a Capital Market with Portfolio Constraints
Review of Financial Studies, 2000, 13, 715-748 (with B. Croitoru)
A Model of Dynamic Equilibrium Asset Pricing with Heterogeneous Beliefs and Extraneous Risk
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)
An Equilibrium Model with Restricted Stock Market Participation
Review of Financial Studies, 1998, 11, 309-341 (with D. Cuoco)
Consumption Choice and Asset Pricing with a Non-Price-Taking Agent
Economic Theory, 1997, 10, 437-462
An Intertemporal Model of International Capital Market Segmentation
Journal of Financial and Quantitative Analysis, 1996, 31, 161-188
A General Equilibrium Model of Portfolio Insurance
Review of Financial Studies, 1995, 8, 1059-1090