· The Role of Portfolio Constraints in the International Propagation of Shocks, 2008, Review of Economic Studies, 75, pp.1215-1256. (With Roberto Rigobon.) This paper was previously circulated under the title "Wealth Transfers, Contagion and Portfolio Constraints," NBER working paper No. 11440 and CEPR discussion paper No. 5117.
· Multiplicity in General Financial Equilibrium with Portfolio Constraints, 2008, Journal of Economic Theory, 142, pp. 100-127. (With Suleyman Basak, David Cass, and Juan Manuel Licari.)
· Optimal Asset Allocation and Risk Shifting in Money Management, 2007, Review of Financial Studies, 20(5), pp. 1583-1621. (With Suleyman Basak and Alex Shapiro.) Winner, Institute for Quantitative Research in Finance (Q Group) project funding award, 2003.
· On Trees and Logs, 2004, Journal of Economic Theory, 116, pp. 41-83. (With David Cass.)
· Monopoly Power and the Firm’s Valuation: A Dynamic Analysis of Short versus Long-Term Policies, 2004, Economic Theory, 24, pp. 503-530. (With Suleyman Basak.) This paper was previously circulated as CEPR discussion paper No. 3425.
version reprinted in: Essays in Dynamic General Equilibrium Theory:
Festschrift for David Cass, 2005, pp. 1-34, Studies in Economic Theory,
· International Macro-Finance, 2013, in: Gerard Caprio (ed.) Handbook of Safeguarding Global Financial Stability: Political, Social, Cultural, and Economic Theories and Models, Vol. 2, pp. 169-176, Oxford: Elsevier Inc. (With Roberto Rigobon.)
· The Benchmark Inclusion Subsidy. (With Anil Kashyap, Natalia Kovrijnykh and Jian Li.) 2019
Firms included in popular benchmarks are effectively subsidized by asset managers. This “subsidy” comes from the inelastic demand of fund managers for stocks in their benchmark and it works through the cost of capital. A non-technical summary and media coverage: VoxEU, LBSR, Barron’s
· Is there Too Much Benchmarking in Asset Management? (With Anil Kashyap, Natalia Kovrijnykh and Jian Li.) 2019
Unintended consequences of fund managers’ compensation contracts include crowded trades, excessive benchmarking and excessive asset management costs. Through their use of benchmarks, fund investors impose externalities on each other. Socially-optimal contracts diverge from privately-optimal ones.
· Equilibrium Portfolios and External Adjustment under Incomplete Markets. (With Roberto Rigobon.) July 2015.
· Structural Estimation of Systemic Risk: Measuring Contagion in the Sub-Prime Crisis. (With Pavitra Kumar and Roberto Rigobon.) August 2014.
· Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management. (With Suleyman Basak and Alex Shapiro.) March 2004. (An old working paper version, CEPR discussion paper No. 5006. Parts of this work are used in "Optimal Asset Allocation and Risk Shifting in Money Management" published in the RFS, and "Offsetting the Incentives: Benefits of Benchmarking in Money Management," published in the JBF.)