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Asset pricing with arbitrage activity

Hugonnier, Julien; Prieto, Rodolfo - In: Journal of financial economics 115 (2015) 2, pp. 411-428

Persistent link: https://www.econbiz.de/10011347464

Heterogeneity in decentralized asset markets

Hugonnier, Julien; Lester, Benjamin; Weill, Pierre-Olivier - 2015

Persistent link: https://www.econbiz.de/10011349541

Endogenous completeness of diffusion driven equilibrium markets

Hugonnier, Julien; Malamud, Semyon; Trubowitz, Eugene - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 3, pp. 1249-1270

Persistent link: https://www.econbiz.de/10009629012

Incomplete information, idiosyncratic volatility and stock returns

Berrada, Tony; Hugonnier, Julien - In: Journal of banking & finance 37 (2013) 2, pp. 448-462

Persistent link: https://www.econbiz.de/10009705642

Event risk, contingent claims and the temporal resolution of uncertainty

Collin-Dufresne, Pierre; Hugonnier, Julien - In: Mathematics and financial economics 8 (2014) 1, pp. 29-69

Persistent link: https://www.econbiz.de/10010235418

Asset pricing with arbitrage activity

Hugonnier, Julien; Prieto, Rodolfo - 2013

We study an economy populated by three groups of logarithmic agents: Constrained agents subject to a portfolio constraint that limits their risk-taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to uncollateralized credit. Such credit...

Persistent link: https://www.econbiz.de/10010257492