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Dynamic Equilibrium with Two Stocks, Heterogeneous Investors, and Portfolio Constraints

Citations

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Cited by:

  1. Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2015. "Collateral Requirements And Asset Prices," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(1), pages 1-25, February.
  2. Amir Akbari & Francesca Carrieri & Aytek Malkhozov, 2017. "Reversals in Global Market Integration and Funding Liquidity," International Finance Discussion Papers 1202, Board of Governors of the Federal Reserve System (U.S.).
  3. Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2015. "Margin regulation and volatility," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 54-68.
  4. Guillermo Hausmann-Guil, 2025. "Solving DSGE models with incomplete markets by perturbation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 57, July.
  5. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 119001, London School of Economics and Political Science, LSE Library.
  6. José Afonso Faias & Juan Arismendi Zambrano, 2022. "Equity Risk Premium Predictability from Cross-Sectoral Downturns [International asset allocation with regime shifts]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(3), pages 808-842.
  7. Suleyman Basak & Georgy Chabakauri & M Deniz Yavuz, 2019. "Investor Protection and Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 32(12), pages 4905-4946.
  8. Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2015. "Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs," SAFE Working Paper Series 41, Leibniz Institute for Financial Research SAFE, revised 2015.
  9. Bose, Subir & Ladley, Daniel & Li, Xin, 2020. "The role of hormones in financial markets," International Review of Financial Analysis, Elsevier, vol. 67(C).
  10. Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2023. "Re-use of collateral: Leverage, volatility, and welfare," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 47, pages 19-46, January.
  11. Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.
  12. Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2018. "The Implications of Financial Innovation for Capital Markets and Household Welfare," CEPR Discussion Papers 13137, C.E.P.R. Discussion Papers.
  13. Kazuhiro Hiraki & George Skiadopoulos, 2018. "The Contribution of Frictions to Expected Returns," Working Papers 874, Queen Mary University of London, School of Economics and Finance.
  14. Curatola, Giuliano, 2017. "Portfolio choice and asset prices when preferences are interdependent," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 197-223.
  15. Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2020. "Investor Sophistication and Portfolio Dynamics," CEPR Discussion Papers 15116, C.E.P.R. Discussion Papers.
  16. Chabakauri, Georgy & Rytchkov, Oleg, 2020. "Asset pricing with index investing," LSE Research Online Documents on Economics 118895, London School of Economics and Political Science, LSE Library.
  17. Croitoru, Benjamin & Jiao, Feng & Lu, Lei, 2024. "Nominal exchange rates and heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 166(C).
  18. Andrea Pinna, 2015. "Price Formation of Pledgeable Securities," BEMPS - Bozen Economics & Management Paper Series BEMPS26, Faculty of Economics and Management at the Free University of Bozen.
  19. Gianluca Femminis, 2019. "Risk aversion heterogeneity and the investment–uncertainty relationship," Journal of Economics, Springer, vol. 127(3), pages 223-264, August.
  20. Philippe Mueller & Gyuri Venter & Andrea Vedolin & Aytek Malkhozov, 2014. "International Liquidity CAPM," 2014 Meeting Papers 1165, Society for Economic Dynamics.
  21. Capponi, Agostino & Cheng, Wan-Schwin Allen & Giglio, Stefano & Haynes, Richard, 2022. "The collateral rule: Evidence from the credit default swap market," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 58-86.
  22. Adem Atmaz & Suleyman Basak, 2018. "Belief Dispersion in the Stock Market," Journal of Finance, American Finance Association, vol. 73(3), pages 1225-1279, June.
  23. Panageas, Stavros, 2020. "The Implications of Heterogeneity and Inequality for Asset Pricing," Foundations and Trends(R) in Finance, now publishers, vol. 12(3), pages 199-275, November.
  24. Chabakauri, Georgy, 2015. "Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 21-34.
  25. Wang, Hailong & Hu, Duni & Ma, Chaoqun & Cheng, Fengchao, 2020. "Disagreements with noisy signals and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  26. Dan Bernhardt & Tingjun Liu & Robert Marquez, 2018. "Targeting Target Shareholders," Management Science, INFORMS, vol. 64(4), pages 1489-1509, April.
  27. Chabakauri, Georgy & Han, Brandon Yueyang, 2020. "Collateral constraints and asset prices," Journal of Financial Economics, Elsevier, vol. 138(3), pages 754-776.
  28. Ľuboš Pástor & Pietro Veronesi, 2021. "Inequality Aversion, Populism, and the Backlash against Globalization," Journal of Finance, American Finance Association, vol. 76(6), pages 2857-2906, December.
  29. Yu, Edison G., 2018. "Dynamic market participation and endogenous information aggregation," Journal of Economic Theory, Elsevier, vol. 175(C), pages 491-517.
  30. Jia Yue & Ming-Hui Wang & Nan-Jing Huang & Ben-Zhang Yang, 2025. "Asset Prices with Investor Protection in the Cross-Sectional Economy," Computational Economics, Springer;Society for Computational Economics, vol. 66(1), pages 241-299, July.
  31. Tyler Abbot, 2017. "General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences," Papers 1706.05877, arXiv.org, revised Jun 2018.
  32. Kazuhiro Hiraki & George Skiadopoulos, 2023. "The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure," Working Papers 946, Queen Mary University of London, School of Economics and Finance.
  33. Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," Journal of Financial Economics, Elsevier, vol. 141(1), pages 195-216.
  34. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
  35. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous epstein-zin investors," LSE Research Online Documents on Economics 62003, London School of Economics and Political Science, LSE Library.
  36. Kargar, Mahyar, 2021. "Heterogeneous intermediary asset pricing," Journal of Financial Economics, Elsevier, vol. 141(2), pages 505-532.
  37. A. Pinna, 2015. "Price Formation of Pledgeable Securities," Working Paper CRENoS 201511, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  38. Uppal, Raman & Buss, Adrian & Vilkov, Grigory, 2017. "Financial Innovation and Asset Prices," CEPR Discussion Papers 12416, C.E.P.R. Discussion Papers.
  39. Shi, Lei, 2016. "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 30-46.
  40. Akbas, Ferhat & Boehmer, Ekkehart & Jiang, Chao & Koch, Paul D., 2022. "Overnight returns, daytime reversals, and future stock returns," Journal of Financial Economics, Elsevier, vol. 145(3), pages 850-875.
  41. Lei Shi & Yajun Xiao, 2021. "Dynamic Asset Pricing with Interactions between Short-Sale and Borrowing Constraints [Multiplicity in general financial equilibrium with portfolio constraints]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 11(4), pages 886-923.
  42. Paolo Guasoni & Kwok Chuen Wong, 2020. "Asset prices in segmented and integrated markets," Finance and Stochastics, Springer, vol. 24(4), pages 939-980, October.
  43. Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," LSE Research Online Documents on Economics 105749, London School of Economics and Political Science, LSE Library.
  44. Wenyuan Li & Pengyu Wei, 2024. "Constrained portfolio optimization in a life-cycle model," Papers 2410.20060, arXiv.org.
  45. Chabakauri, Georgy & Rytchkov, Oleg, 2014. "Asset pricing with index investing," LSE Research Online Documents on Economics 60739, London School of Economics and Political Science, LSE Library.
  46. Albert Menkveld & Emiliano Pagnotta & Marius Andrei Zoican, 2016. "Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets," Working Papers hal-01253702, HAL.
  47. Svetlozar Rachev & Stoyan Stoyanov & Frank J. Fabozzi, 2017. "Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing," Papers 1710.03205, arXiv.org.
  48. Maxime Sauzet, 2025. "Green Intermediary Asset Pricing," CESifo Working Paper Series 11944, CESifo.
  49. Wang, Hailong & Hu, Duni, 2024. "Heterogeneous beliefs with information processing capacity constraints and asset pricing in a monetary economy," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  50. Galindo Gil, Hamilton, 2025. "How to build and solve continuous-time heterogeneous agents models in asset pricing? The martingale approach and the finite difference method," Journal of Mathematical Economics, Elsevier, vol. 116(C).
  51. Curatola, Giuliano, 2016. "Preference evolution and the dynamics of capital markets," SAFE Working Paper Series 128, Leibniz Institute for Financial Research SAFE.
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