This paper studies the asset pricing implications of a general equi-librium model in which real investment is reversible at a cost. Firmsface higher costs in contracting than in expanding their capital stockand decide to invest when their productive capital is scarce relativeto the overall...

This paper aims to open a new avenue for research in continuoustimenancial market models with endogenous prices and heterogenousinvestors. The main result is the derivation of the limit of a discretetimeevolutionary stock market model as the length of the time periodtends to zero.[...]

This article shows that, as long as agents are required to maintain positivewealth, the presence of portfolio constraints may give rise to asset pricingbubbles in equilibrium even if there are unconstrained agents in the economywho can benefit from the induced arbitrage opportunity. Furthermore,...

This paper studies the wealth dynamics of investors holding self-nancing portfolios in a continuous-time model of a nancial market.Asset prices are endogenously determined by market clearing. Wederive results on the asymptotic dynamics of the wealth distributionand asset prices for constant...

This paper analyzes competition between mutual funds in a multiple fundsversion of the model of Hugonnier and Kaniel [18]. We characterize the setof equilibria for this delegated portfolio management game and show thatthere exists a unique Pareto optimal equilibrium. The main result of thispaper...

We develop a new completely affine model of the term structure of interest rates, in which the statevariables evolve as a matrix-valued process of stochastically correlated factors. This setting grants a newelement of flexibility in the simultaneous modeling of stochastic volatilities and...