Research

Working papers

Heterogeneous Beliefs Recovery (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, equilibrium prices reveal the cross-sectional distribution of wealth and consumption shares across beliefs. Specifically, we establish a novel recovery theorem showing that the equilibrium paths of the risky asset price and the interest rate determine the evolution of these distributions. Motivated by this finding, we develop an optimization-based method to approximate the implied distribution of consumption shares across beliefs, given discrete time series of prices and interest rates. We confirm the accuracy of this method on simulated data and illustrate the versatility of our approach by providing extensions of our basic recovery theorem that allow for learning and multidimensional beliefs.

Presentations: UCLA Macro Finance Lunch; 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

OTC Markets with Private Valuations (with Julien Hugonnier)

We develop a search theory of dealer intermediation in over-the-counter (OTC) markets with private investor valuations. Trading occurs through a competitive request-for-quote (RFQ) protocol in which dealers submit price quotes without observing investor types. The model nests the standard voice trading channel. We prove the existence and uniqueness of a stationary equilibrium and characterize it through a system of functional equations. We decompose the effects of private valuations into a scale effect, reflecting the total mass of investors on each side of the marginal type, and a composition effect, reflecting the shape of the distribution. This decomposition characterizes how equilibrium outcomes respond to changes in supply. Dynamic feedback effects overturn standard intuitions about how dealer competition affects prices: greater competition does not uniformly improve trading terms and induces some investors to trade less. The economy with private valuations is equivalent to an economy without private information but with type-dependent trading frictions and effective bargaining power. In equilibrium, quote distributions generate bid–ask spreads, price dispersion, and strictly positive probabilities of trade failure. Our theory characterizes these objects in terms of the primitives of the economy.

Presentations: Workshop on Decentralized Financial Markets; Summer FTG Conference 2026; 2026 LEMMA Workshop on Money, Banking and Finance; EPFL/UNIL Brown Bag seminar; UCLA PhD Talk

Deviation in marginal type relative to a benchmark without private valuations, as a function of asset supply. Asymmetries between the bid and ask sides affect participation and distort price elasticities.

Valuation Wedges in Capital Structure (Job Market Paper)

Draft coming soon.

Presentations: SFI Research Days 2026

First-Price Auctions with Non-Monotone Payoffs (with Julien Hugonnier)

Draft coming soon.

Order Splitting and Screening in OTC Markets

Discussions:

Dardan Gashi. Managerial Beliefs and Agency Conflicts. (At SFI Research Days 2026.)

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

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

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

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

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