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Asset Pricing with Dynamic Margin Constraints
16 references·6 citing·52 second hop
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1998Numerical Methods in Economics2,587 cited
  • 2013Betting against beta2,027 cited
  • 2001Contagion as a Wealth Effect926 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
  • 2006Portfolio Selection in Stochastic Environments660 cited
  • 2011Margin-based Asset Pricing and Deviations from the Law of One Price653 cited
  • 1998An Equilibrium Model with Restricted Stock Market Participation591 cited
  • 2004Understanding Predictability456 cited
  • 2002Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices437 cited
  • 2009Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility428 cited
  • 2003Dynamic Asset Allocation with Event Risk415 cited
  • 1989Two-Person Dynamic Equilibrium in the Capital Market376 cited
  • 2005Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusion370 cited

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1994
Intertemporal Asset Pricing with Heterogeneous Beliefs
361 cited

Cited by

  • 2014Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints73 cited
  • 2021Heterogeneous intermediary asset pricing51 cited
  • 2014A Market-Based Funding Liquidity Measure45 cited
  • 2021Asset pricing with index investing30 cited
  • 2015The Impact of CCPss Margin Policies on Repo Markets29 cited
  • 2016Monetary Policy and Leverage Shocks18 cited