Assets in tax-deferred retirement accounts (TDA) and housing are two major components of household portfolios. In this paper, we develop a life-cycle model to examine the interaction between households' use of TDA and their housing decisions. The model generates life-cycle patterns of home...

This paper, using the different alternative methods of dynamic optimization (the Lagrange/Kuhn-Tucker (LKT) method, the substitution method, the Hamiltonian method, and the dynamic programming approach) derives the conditions that must be satisfied by the solution to the so-called Ramsey...

This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors' information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the...

Assets in tax-deferred retirement accounts (TDA) and housing are two major components of household portfolios. In this paper, we develop a life-cycle model to examine the interaction between households' use of TDA and their housing decisions. The model generates life-cycle patterns of home...

One attractive objective for a pensioner using the income drawdown option is to minimise the deviation of the pension fund from a prescribed deterministic target. Typically, this problem is formulated as a linear-quadratic optimal control problem, which has the shortcoming that over-performance...

The problem of optimal consumption and investment is concerned with the decisions of a single agent endowed with some initial wealth who seeks to maximize total expected discounted utility of consumption. The decisions are the rate of consumption and the allocation of their wealth directed to...

The global shift towards defined-contribution pension schemes has been accompanied by asymmetric risks and new responsibilities for households to plan and fund effectively their own retirement over the years. In this study, expressing and combining preferences for consumption, investment,...

Empirical evidence suggests that it may cost time, effort, and resources to implement an optimal consumption-saving plan, although the cost may differ across individuals. This paper explores the implications of such friction. We begin by documenting a series of facts on consumption and savings...

This is a short survey on consumption theory. Consumption is important to both fluctuation and growth. In addition, consumption introduces some important issues involving financial markets and portfolio decisions. We will describe consumption decisions in a dynamic context. Uncertainty about...

This paper proposes a formal model of migration in which workers are heterogeneous and markets are stochastically correlated. We derive and characterize the optimal migration pattern. It is shown to depend on differences in expected earnings, costs of migration, income risks, and more...