Research

Papers on the Social Science Research Network (SSRN) :

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

Working papers :

Dynamic Mean-Variance Asset Allocation (with G. Chabakauri).
Strategic Asset Allocation with Relative Performance Concerns (with D. Makarov).
Offsetting the Incentives: Benefits of Benchmarking in Money Management (with A. Pavlova and A. Shapiro).
Equilibrium Asset Prices and Investor Behavior in the presence of Money Illusion (with H. Yan).
Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management (with A. Pavlova and A. Shapiro). Note: This is an old working paper version. Parts of this work are drawn in "Optimal Asset Allocation and Risk Shifting in Money Management," forthcoming in RFS, and "Offsetting the Incentives: Benefits of Benchmarking in Money Management," a working paper.
A Dynamic Model with Import Quota Constraints (with A. Pavlova).

Publications :

Multiplicity in General Equilibrium with Portfolio Constraints, forthcoming in Journal of Economic Theory (with D. Cass, J.M. Licari and A. Pavlova).
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.