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 …

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. …

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 …

We study the behavior of a financial institution subject to capital requirements based on self-reported
VaR measures, as in the Basel Committee's Internal Models Approach. We view …

This paper examines optimal consumption and investment choices and the cost of hedging
contingent claims in the presence of margin requirements or, more generally, of nonlinear …

We examine the extent to which an investor's tastes and beliefs can be jointly recovered from
knowledge of his/her consumption choice. More precisely, we assume that the investor's …

This paper analyzes the asset pricing implications of commonly used portfolio management
contracts linking the compensation of fund managers to the excess return of the managed …

Value at Risk (VaR) has emerged in recent years as a standard tool to measure and control
the risk of trading portfolios. Yet, existing theoretical analysis of the optimal behavior of a …

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 …

We examine the intertemporal optimal consumption and investment problem in a continuous-time
economy with a divisible durable good. Consumption services are assumed to be …