This paper studies an equilibrium model with heterogeneous agents, asset price bubbles, and trading constraints. Market liquidity is modeled as a stochastic quantity impact from trading on the price. Bubbles are larger in liquid markets and when trading constraints are more binding. Systemic...

This paper studies portfolio optimization over terminal wealth in a finite horizon, arbitrage-free, competitive and frictionless market with a single risky asset and money market account, where the risky asset exhibits a price bubble. We show that in a complete market, the existence of a price...