Research

Papers on the Social Science Research Network (SSRN) :

http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=016892

Working papers :

• Asset Prices and Institutional Investors (with A. Pavlova).
• A Dynamic Model with Import Quota Constraints (with A. Pavlova).

Publications :

• Strategic Asset Allocation in Money Management, forthcoming in Journal of Finance (with D. Makarov).
• Dynamic Hedging in Incomplete Markets: A Simple Solution, forthcoming in Review of Financial Studies (with G. Chabakauri).
• Difference in Interim Performance and Risk Taking with Short-Sale Constraints, forthcoming in Journal of Financial Economics (with D. Makarov).
• Equilibrium Asset Prices and Investor Behavior in the presence of Money Illusion, 2010, Review of Economic Studies, 77, 914-936 (with H. Yan). Note: There is an earlier version with an alternative preference-based formulation.
• Dynamic Mean-Variance Asset Allocation, 2010, Review of Financial Studies, 23, 2970-3016 (with G. Chabakauri).
• Multiplicity in General Equilibrium with Portfolio Constraints, 2008, Journal of Economic Theory, 142, 100-127 (with D. Cass, J.M. Licari and A. Pavlova).
• Offsetting the Implicit Incentives: Benefits of Benchmarking in Money Management, 2008, Journal of Banking and Finance, 32, 1882-1993 (with A. Pavlova and A. Shapiro).
• Optimal Asset Allocation and Risk Shifting in Money Management, 2007, Review of Financial Studies, 20, 1583-1621 (with A.Pavlova and A. Shapiro).
• International Good Market Segmentation and Financial Innovation, 2007, Journal of International Economics,71, 267-293 (with B. Croitoru).
• On the Role of Arbitrageurs in Rational Markets, 2006, Journal of Financial Economics, 81, 143-173 (with B Croitoru).
• Risk Management with Benchmarking, 2006, Management Science, 52, 542-557 (with A. Shapiro and L. Tepla).
• Asset Pricing with Heterogeneous Beliefs, 2005, Journal of Banking and Finance, 29, 2849-2881.
• A Model of Credit Risk, Optimal Policies, and Asset Prices, 2005, Journal of Business, 78, 1215-1266 (with A. Shapiro).
• Monopoly Power and the Firm´s Vaulation: A Dynamic Analysis of Short versus Long-Term Policies, 2004, Economic Theory, 24, 503-530 (with A. Pavlova).
• Capital Market Equilibrium with Differential Taxation, 2003, European Finance Review, 7, 121-159 (with M Gallmeyer).
• A Comparative Study of Portfolio Insurance, 2002, Journal of Economic Dynamics and Control, 26, 1217-1241.
• Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices, 2001,  Review of Financial Studies, 14, 371-405 (with A. Shapiro).
• Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices, 2001, Journal of Mathematical Economics, 35, 347-382 (with B. Croitoru).
• Equilbrium Mispricing in a Capital Market with Portfolio Constraints, 2000,  Review of Financial Studies, 13, 715-748 (with B. Croitoru).
• A Model of Dynamic Equilibrium Asset Pricing with Heterogeneous Beliefs and Extraneous Risk, 2000, Journal of Economic Dynamics and Control, 24, 63-95.
• On the Fluctuations in Consumption and Market Returns in the Presence of Labor and  Human Capital: An Equilibrium Analysis, 1999, Journal of Economic Dynamics and Control, 23, 1029-1064.
• Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium, 1999, Mathematical Finance, 9, 1-30 (with M. Gallmeyer).
• An Equilibrium Model with Restricted Stock Market Participation, 1998, Review of Financial Studies, 11, 309-341 (with D. Cuoco).
• Consumption Choice and Asset Pricing with a Non-Price-Taking Agent, 1997, Economic Theory, 10, 437-462.
• An Intertemporal Model of International Capital Market Segmentation,  1996, Journal of Financial and Quantitative Analysis, 31, 161-188.
• A General Equilibrium Model of Portfolio Insurance, 1995, Review of Financial Studies, 8, 1059-1090.