Research

Working papers

(with Julien Hugonnier)

Revise and Resubmit at The Review of Financial Studies

In a standard continuous-time economy with heterogeneous beliefs and constant relative risk aversion, we show that equilibrium prices exactly reveal the cross-sectional distribution of wealth and consumption shares across beliefs.

Presentations: SFI Research Days 2024, SFI PhD Workshop 2024, HSG PhD seminar, EPFL/UNIL Brown Bag seminar, UNIGE Brown Bag seminar

Examples of recovery in simulated markets. The black curve shows the CDF of the true cross-sectional distribution of beliefs used to generate prices, while the blue curve shows the distribution recovered using our methodology.

Work in progress

Search, Competition, and Private Valuation in Dealer-Intermediated OTC Markets

Discussions:

Gülce Opuz. Portfolio Choice with Heterogeneous Risks. 2025. (At 8th Dauphine Finance PhD Workshop.)

Mojtaba Hayati. Scale-Dependent Returns or Dynamics of the Interest Rate?. 2025. (At SFI Research Days 2025.)

Emanuele Luzzi. The Impact of Nonlinearities on Option Portfolios. 2024. (At SFI PhD Workshop 2024.)

Bryan T. Kelly, Semyon Malamud, Mohammad Pourmohammadi, and Fabio Trojani. Universal Portfolio Shrinkage. 2023. (At SFI Research Days 2024.)

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