Research

Papers at SSRN

Papers at IDEAS

Papers at CEPR

Google Scholar Page



Working papers :

Dynamic Equilibrium with Costly Short-Selling and Lending Market (with A. Atmaz and F. Ruan)


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 :

Stock Market and No-Dividend Stocks

Journal of Finance, 2021, forthcoming (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