Details about Julien Hugonnier

Access statistics for papers by Julien Hugonnier.

Last updated 2025-01-06. Update your information in the RePEc Author Service.

Short-id: phu645

Working Papers

2024

1. Admissible Surplus Dynamics and the Government Debt Puzzle
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2023)
2. Perpetual Futures Pricing
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
   Also in Papers, arXiv.org (2024) View citations (1)

2022

3. Asset pricing with costly short sales
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2022)

2020

4. Heterogeneity in Decentralized Asset Markets
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2014) View citations (35)
   NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (44)
   Working Papers, Federal Reserve Bank of Philadelphia (2019)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019)
   Working Papers, Federal Reserve Bank of Philadelphia (2015) View citations (16)
   2016 Meeting Papers, Society for Economic Dynamics (2016) View citations (12)
   See also Journal Article Heterogeneity in decentralized asset markets, Theoretical Economics, Econometric Society (2022) View citations (4) (2022)
5. Optimal Debt Dynamics, Issuance Costs, and Commitment
   Working Paper Series, Federal Reserve Bank of Chicago View citations (3)

2019

6. Frictional Intermediation in Over-the-Counter Markets
   2019 Meeting Papers, Society for Economic Dynamics View citations (6)
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2018) View citations (6)
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2018) View citations (6)
   NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (6)
   Working Papers, Federal Reserve Bank of Philadelphia (2019) View citations (5)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (7)
   See also Journal Article Frictional Intermediation in Over-the-Counter Markets, The Review of Economic Studies, Review of Economic Studies Ltd (2020) View citations (19) (2020)
7. Risk Premia and Lévy Jumps: Theory and Evidence
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article Risk Premia and Lévy Jumps: Theory and Evidence*, Journal of Financial Econometrics, Oxford University Press (2023) View citations (1) (2023)

2018

8. Closing Down the Shop: Optimal Health and Wealth Dynamics Near the End of Life
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   Also in Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York (2016)
   See also Journal Article Closing down the shop: Optimal health and wealth dynamics near the end of life, Health Economics, John Wiley & Sons, Ltd. (2020) View citations (6) (2020)
9. Optimal Fund Menus
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018)
   See also Journal Article Optimal fund menus, Mathematical Finance, Wiley Blackwell (2022) (2022)
10. Valuing Life as an Asset, as a Statistic and at Gunpoint
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
    Also in Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York (2018) View citations (2)
    See also Journal Article Valuing Life as an Asset, as a Statistic and at Gunpoint, The Economic Journal, Royal Economic Society (2022) View citations (3) (2022)

2015

11. Bank Capital, Liquid Reserves, and Insolvency Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2014) View citations (3)
    See also Journal Article Bank capital, liquid reserves, and insolvency risk, Journal of Financial Economics, Elsevier (2017) View citations (45) (2017)

2014

12. Decentralized Asset Markets with a Continuum of Types
    2014 Meeting Papers, Society for Economic Dynamics

2013

13. Asset Pricing with Arbitrage Activity
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article Asset pricing with arbitrage activity, Journal of Financial Economics, Elsevier (2015) View citations (5) (2015)

2011

14. Capital Supply Uncertainty, Cash Holdings, and Investment
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (11)
    See also Journal Article Capital Supply Uncertainty, Cash Holdings, and Investment, The Review of Financial Studies, Society for Financial Studies (2015) View citations (64) (2015)

2010

15. A structural analysis of the health expenditures and portfolio choices of retired agents
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2009

16. Endogenous completeness of diffusion driven equilibrium markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (8)
    See also Journal Article Endogenous Completeness of Diffusion Driven Equilibrium Markets, Econometrica, Econometric Society (2012) View citations (27) (2012)
17. Health and (other) Asset Holdings
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (33)
    See also Journal Article Health and (Other) Asset Holdings, The Review of Economic Studies, Review of Economic Studies Ltd (2013) View citations (46) (2013)

2008

18. Bubbles and multiplicity of equilibria under portfolio constraints
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
19. Incomplete information, idiosyncratic volatility and stock returns
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article Incomplete information, idiosyncratic volatility and stock returns, Journal of Banking & Finance, Elsevier (2013) View citations (9) (2013)
20. Mutual Fund Competition in the Presence of Dynamic Flows
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2006

21. Technology adoption under uncertainty in general equilibrium
    2006 Meeting Papers, Society for Economic Dynamics View citations (2)

2005

22. Growth Options in General Equilibrium: Some Asset Pricing Implications
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (2)
23. Trading Volumes in Dynamically Efficient Markets
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering

2004

24. Investment under Uncertainty and Incomplete Markets
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (3)
25. Optimal investment with random endowments in incomplete markets
    Papers, arXiv.org View citations (56)

Undated

26. Pricing and Hedging of Contingent Claims in the Presence of Extraneous Risk
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business

Journal Articles

2023

1. Risk Premia and Lévy Jumps: Theory and Evidence*
   Journal of Financial Econometrics, 2023, 21, (3), 810-851 View citations (1)
   See also Working Paper Risk Premia and Lévy Jumps: Theory and Evidence, Swiss Finance Institute Research Paper Series (2019) (2019)

2022

2. Heterogeneity in decentralized asset markets
   Theoretical Economics, 2022, 17, (3) View citations (4)
   See also Working Paper Heterogeneity in Decentralized Asset Markets, CEPR Discussion Papers (2020) View citations (4) (2020)
3. Optimal fund menus
   Mathematical Finance, 2022, 32, (2), 455-516
   See also Working Paper Optimal Fund Menus, Swiss Finance Institute Research Paper Series (2018) (2018)
4. Valuing Life as an Asset, as a Statistic and at Gunpoint
   The Economic Journal, 2022, 132, (643), 1095-1122 View citations (3)
   See also Working Paper Valuing Life as an Asset, as a Statistic and at Gunpoint, Swiss Finance Institute Research Paper Series (2018) View citations (2) (2018)

2020

5. Closing down the shop: Optimal health and wealth dynamics near the end of life
   Health Economics, 2020, 29, (2), 138-153 View citations (6)
   See also Working Paper Closing Down the Shop: Optimal Health and Wealth Dynamics Near the End of Life, Swiss Finance Institute Research Paper Series (2018) (2018)
6. Frictional Intermediation in Over-the-Counter Markets
   The Review of Economic Studies, 2020, 87, (3), 1432-1469 View citations (19)
   See also Working Paper Frictional Intermediation in Over-the-Counter Markets, 2019 Meeting Papers (2019) View citations (6) (2019)

2017

7. Bank capital, liquid reserves, and insolvency risk
   Journal of Financial Economics, 2017, 125, (2), 266-285 View citations (45)
   See also Working Paper Bank Capital, Liquid Reserves, and Insolvency Risk, CEPR Discussion Papers (2015) View citations (2) (2015)

2015

8. Asset pricing with arbitrage activity
   Journal of Financial Economics, 2015, 115, (2), 411-428 View citations (5)
   See also Working Paper Asset Pricing with Arbitrage Activity, Swiss Finance Institute Research Paper Series (2013) (2013)
9. Capital Supply Uncertainty, Cash Holdings, and Investment
   The Review of Financial Studies, 2015, 28, (2), 391-445 View citations (64)
   See also Working Paper Capital Supply Uncertainty, Cash Holdings, and Investment, Swiss Finance Institute Research Paper Series (2011) View citations (11) (2011)
10. Credit market frictions and capital structure dynamics
    Journal of Economic Theory, 2015, 157, (C), 1130-1158 View citations (16)

2013

11. Health and (Other) Asset Holdings
    The Review of Economic Studies, 2013, 80, (2), 663-710 View citations (46)
    See also Working Paper Health and (other) Asset Holdings, Swiss Finance Institute Research Paper Series (2009) View citations (33) (2009)
12. Incomplete information, idiosyncratic volatility and stock returns
    Journal of Banking & Finance, 2013, 37, (2), 448-462 View citations (9)
    See also Working Paper Incomplete information, idiosyncratic volatility and stock returns, Swiss Finance Institute Research Paper Series (2008) (2008)

2012

13. Endogenous Completeness of Diffusion Driven Equilibrium Markets
    Econometrica, 2012, 80, (3), 1249-1270 View citations (27)
    See also Working Paper Endogenous completeness of diffusion driven equilibrium markets, Swiss Finance Institute Research Paper Series (2009) View citations (8) (2009)
14. Rational asset pricing bubbles and portfolio constraints
    Journal of Economic Theory, 2012, 147, (6), 2260-2302 View citations (33)

2007

15. Corporate control and real investment in incomplete markets
    Journal of Economic Dynamics and Control, 2007, 31, (5), 1781-1800 View citations (47)
16. Heterogeneous preferences and equilibrium trading volume
    Journal of Financial Economics, 2007, 83, (3), 719-750 View citations (9)
17. Pricing and hedging in the presence of extraneous risks
    Stochastic Processes and their Applications, 2007, 117, (6), 742-765 View citations (3)

2005

18. ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
    Mathematical Finance, 2005, 15, (2), 203-212 View citations (36)

2004

19. A General Formula for Valuing Defaultable Securities
    Econometrica, 2004, 72, (5), 1377-1407 View citations (61)

1999

20. THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
    International Journal of Theoretical and Applied Finance (IJTAF), 1999, 02, (02), 153-178 View citations (1)