#### Filter Results:

- Full text PDF available (60)

#### Publication Year

2003

2017

- This year (2)
- Last 5 years (28)
- Last 10 years (55)

#### Publication Type

#### Co-author

#### Journals and Conferences

#### Key Phrases

Learn More

- Darrell Duffie, Stephen Buser, +23 authors Haoxiang Zhu
- 2010

I describe asset price dynamics caused by the slow movement of investment capital to trading opportunities. The pattern of price responses to supply or demand shocks typically involves a sharp reaction to the shock and a subsequent and more extended reversal. The amplitude of the immediate price impact and the pattern of the subsequent recovery can reflect… (More)

- Semyon Malamud
- 2005

We establish an analog of the Cauchy-Poincare interlacing theorem for normal matrices in terms of majorization, and we provide a solution to the corresponding inverse spectral problem. Using this solution we generalize and extend the Gauss–Lucas theorem and prove the old conjecture of de Bruijn-Springer on the location of the roots of a complex polynomial… (More)

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 level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the properties of the equilibrium. In particular, we analyze the… (More)

We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to in nity or to one. The convergence of the optimal consumption is obtained for general semimartingale models while the convergence of the optimal trading strategy is obtained for continuous models.… (More)

We solve for the equilibrium dynamics of information sharing in a large population. Each agent is endowed with signals regarding the likely outcome of a random variable of common concern. Individuals choose the effort with which they search for others from whom they can gather additional information. When two agents meet, they share their information. The… (More)

- BY J. HUGONNIER, Semyon Malamud, Eugène Trubowitz, Peter Bossaerts, R. Prieto
- 2009

We study the existence of dynamic equilibria with endogenously complete markets in continuous-time, heterogenous agents economies driven by diffusion processes. Our main results show that under appropriate conditions on the transition density of the state variables, market completeness can be deduced from the primitives of the economy. In particular, we… (More)

- Harjoat S. Bhamra, Raman Uppal, +15 authors Hongjun Yan
- 2009

In this paper, we study asset prices in a dynamic, continuous-time, general-equilibrium endowment economy where agents have power utility and differ with respect to both beliefs and their preference parameters for time discount and risk aversion. We solve in closed form for the following quantities: optimal consumption and portfolio policies of individual… (More)

In all the existing literature on survival in heterogeneous economies, the rate at which an agent vanishes in the long run relative to another agent can be characterized by the difference of the so-called survival indices, where each survival index only depends on the preferences of the corresponding agent and the properties of the aggregate endowment. In… (More)

- Semyon Malamud, Patrick Bolton, +6 authors Mark M. Westerfield
- 2010

We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is equivalent to survival under an agent-specific, wealth-forward measure. These results allow us to show that price impact and… (More)

- Benjamin Junge, Anders B. Trolle, +18 authors Fabio Trojani
- 2014

We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). Liquidity risk is defined as covariation between CDS returns and a liquidity factor that captures innovations to CDS market liquidity. Market-wide CDS illiquidity is measured by aggregating deviations of credit index levels from their no-arbitrage values… (More)