This paper presents an equilibrium model in a pure exchange economy when investors
have three possible sources of heterogeneity. Investors may differ in their beliefs, in their …

We introduce investors with preferences for green assets to a general equilibrium setting in
which they also prefer consuming green goods. Their preference for green goods induces …

I characterize the global solution to the international portfolio problem in a general setup, a
longstanding open issue in international finance. The framework replicates a number of …

This paper provides a novel theoretical analysis of how endogenous time‐varying margin
requirements affect capital market equilibrium. I find that margin requirements, when there …

This article shows that portfolio constraints can give rise to rational asset pricing bubbles in
equilibrium even if there are unconstrained agents in the economy who can benefit from the …

This paper develops a two-country asset pricing model with defaultable firms and
governments. This model shows that higher sovereign credit risk in a country depresses …

This monograph sets the stage for experiments by first examining a sample data set that
looks very much like the typical historical data one gathers from the field, only it was actually …

I characterize the global solution to the portfolio problem of two heterogeneous investors
with general preferences, in a two-tree, two-good environment. Investors have recursive …

We examine the impact of risk-based portfolio constraints on asset prices in an exchange
economy. Constrained agents scale down their portfolio and behave locally like power utility …

We investigate conditions for endogenous incompleteness and completeness in continuous-
time financial markets driven by diffusion processes with multiple consumption goods and …