Article(electronic)#1November 1, 2003
Applied Computational Economics and Finance
In: The economic journal: the journal of the Royal Economic Society, Volume 113, Issue 491, p. F661-F663
ISSN: 1468-0297
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Article(electronic)#2July 1998
Computing equilibria in the general equilibrium model with incomplete asset markets
In: Journal of economic dynamics & control, Volume 22, Issue 8-9, p. 1375-1401
ISSN: 0165-1889
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Article(electronic)#3May 1, 2012
Financial Innovation and Asset Price Volatility
In: American economic review, Volume 102, Issue 3, p. 147-151
ISSN: 1944-7981
We compare asset prices in an overlapping generations model for incomplete and complete markets. Individuals within a generational cohort have heterogeneous beliefs about future states of the economy and thus would like to make bets against each other. In the incomplete-markets economy, agents cannot make such bets. Asset price volatility is very small. The situation changes dramatically when markets are completed through financial innovations as the set of available securities now allows agents with different beliefs to place bets against each other. Wealth shifts across agents and generations. Such changes in the wealth distribution lead to substantial asset price volatility.
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Article(electronic)#4September 1999
General equilibrium models and homotopy methods
In: Journal of economic dynamics & control, Volume 23, Issue 9-10, p. 1249-1279
ISSN: 0165-1889
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Handbook of computational economics, Volume 3
In: Handbooks in economics [13]
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Article(electronic)#72023
The Fundamental Problem with ESG? Conflicting Letters
In: Journal of Financial Transformation, # 57, 2023
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Article(electronic)#102018
Higher-Order Effects in Asset-Pricing Models with Long-Run Risks
In: Journal of Finance, Volume 73(3), Issue 1061-1111
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Article(electronic)#112018
Asset Pricing with Heterogeneous Agents and Long-Run Risk
In: Journal of Financial Economics (JFE), Forthcoming
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Article(electronic)#12August 2016
Asset prices with non-permanent shocks to consumption
In: Journal of economic dynamics & control, Volume 69, p. 152-178
ISSN: 0165-1889
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Article(electronic)#132016
Asset Prices with Non-Permanent Shocks to Consumption
In: Journal of Economic Dynamics and Control, Volume 69
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Article(electronic)#142016
Optimal and Naive Diversification in Currency Markets
In: Swiss Finance Institute Research Paper No. 12-36
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