Papers at SSRN

Papers at IDEAS

Papers at CEPR

Google Scholar Page

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

On the Fluctuations in Consumption and Market Returns in the Presence of Labor and  Human Capital: An Equilibrium Analysis

Journal of Economic Dynamics and Control, 1999, 23, 1029-1064

Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium

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