An equilibrium model with restricted stock market participation

S Basak, D Cuoco - The Review of Financial Studies, 1998 - academic.oup.com
This article solves the equilibrium problem in a pure-exchange, continuous-time economy in
which some agents face information costs or other types of frictions effectively preventing …

Equilibrium prices in the presence of delegated portfolio management

D Cuoco, R Kaniel - Journal of Financial Economics, 2011 - Elsevier
D j ( D s j , s ) dw s j , for some functions μ D j , σ DD j ≡ 0 , so that D j t can be interpreted
as the conditional expectation at time t of stock j's liquidation dividend. We let D T =(B,D 1 T ,D

Optimal consumption and equilibrium prices with portfolio constraints and stochastic income

D Cuoco - Journal of Economic Theory, 1997 - Elsevier
This paper examines the intertemporal optimal consumption and investment problem in the
presence of a stochastic endowment and constraints on the portfolio choices. Short-sale and …

Optimal consumption choices for a 'large'investor

D Cuoco, J Cvitanić - Journal of Economic Dynamics and Control, 1998 - Elsevier
This paper examines the optimal consumption and investment problem for a ‘large’ investor,
whose portfolio choices affect the instantaneous expected returns on the traded assets. …

Optimal dynamic trading strategies with risk limits

D Cuoco, H He, S Isaenko - Operations Research, 2008 - pubsonline.informs.org
Cuoco and Liu (2006) study, within the approach of our paper, the joint reporting and investment
problem of a financial … We assume without loss of generality that 1 ⩽ n ⩽ d and that rank …

An analysis of VaR-based capital requirements

D Cuoco, H Liu - Journal of Financial Intermediation, 2006 - Elsevier
… We define the institution's regulatory capital K = A − D as the difference between the value
of the institution's asset portfolio and the value of the institution's deposits. The financial …

[PDF][PDF] Dynamic aggregation and computation of equilibria in finite-dimensional economies with incomplete financial markets

D Cuoco, H He - Annals of economics and finance, 2001 - down.aefweb.net
It is well known that competitive equilibria in economies with complete financial markets can
be supported by a “representative agent”, in the sense that it is always possible to replace …

Characteristics of gastro‐esophageal reflux episodes in Barrett's esophagus, erosive esophagitis and healthy volunteers

…, M Frazzoni, DL Cuoco, D Pohl… - …, 2010 - Wiley Online Library
… In the EE group, 30 patients displayed grade A, 12 grade B, 6 grade C and 2 grade D
esophagitis. As the number of patients with grades C and D was very low, we pooled them together …

A martingale characterization of consumption choices and hedging costs with margin requirements

D Cuoco, H Liu - Mathematical Finance, 2000 - Wiley Online Library
… Also, letting S = (S1,... ,Sn) denote the price process for the traded stocks and D = (D1,... ,Dn)
their cumulative dividend process, we assume that S + D is an Itô process: …

[HTML][HTML] Optimal consumption of a divisible durable good

D Cuoco, H Liu - Journal of Economic Dynamics and Control, 2000 - Elsevier
… as 9 max (c,θ) E ∫ 0 ∞ e −ρt u α r+β c t d t st W t =W 0 + ∫ 0 t (rW s +θ s T (μ−r 1 )−c s ) d
s+ ∫ 0 t θ s T σ d w s , c t ≥0, W t ≥0. The above problem is formally similar to the one studied …