We study a continuous-time model of consumption and portfolio selection with limited commitment in a stochastic environment. The credit constraints of a household are determined endogenously in the credit market where creditors know that the household is not committed to payment of debt. By...

We study determinants of households' unsecured credit limits using the Survey of Consumer Finances between 2001 and 2016. We estimate the marginal effects of demographic characteristics and financial health conditions in a two stage least squares model, resolving the endogeneity from the...

We study asset pricing with consumption frictions. Frictions in consumption include adjustment costs which prevent a consumer from adjusting consumption freely, due to transaction costs, commitments, search and learning costs, and psychological costs. The stochastic discount factor is determined...

We study a continuous-time model of consumption and portfolio selection with the stochastic investment opportunity and the credit constraints endogenously determined in the business cycle modeled by the regime switch. By using the martingale approach and transformation into optimal stopping...

We study the consumption and portfolio selection problem of an agent who faces consumption irreversibility: there is disutility from changing consumption levels. The derived preference exhibits intertemporal loss aversion toward consumption changes with the previous consumption level being the...

We investigate the dynamic consumption and portfolio selection problem of an agent who has an intertemporal preference with loss and risk aversion, as proposed by Choi et al. (2019a). We disentangle the effects of loss aversion from those of risk aversion on risk taking. We show by simulation...

We study a pure exchange economy with two groups of agents who exhibit different consumption patterns: one changes consumption immediately in response to shocks, but the other delays the response. We investigate the linkages among the consumption heterogeneity, business cycles, and asset returns...

In this paper we study a simple two-period asset pricing model to understand the implications of uninsurable labor income risk and/or borrowing constraints, limited stock market participation, heterogeneous labor income volatilities, and heterogeneous preferences. We appraise the performance of...