Retirement flexibility and inability to borrow against future labor income can significantly affect optimal consumption and investment. With voluntary retirement, there exists an optimal wealth-towage ratio threshold for retirement and human capital correlates negatively with the stock market...

We consider the optimal portfolio selection problem for a constant relative risk aversion (CRRA) investor who derives utility from his terminal wealth. The stock returns are predictable, but the predictive variables are only periodically observable with noise. We obtain the investor's value...

Costly information acquisition makes it rational for investors to obtain important economic news only with limited frequency or limited accuracy. We show that this rational inattention to important news may make investors overinvest or underinvest. In addition, the optimal trading strategy is...

Costly information acquisition makes it rational for investors to obtain important economic news with only limited frequency or limited accuracy. We show that this rational inattention to important news may make investors over- or underinvest. In addition, the optimal trading strategy is...

Liquidity, efficiency and bailouts . In illiquid markets asset prices can be below their expected values. What is "liquidity" and where does it come from? What determines the "liquidity discount" to expected asset values? We present a general equilibrium model in which some agents...

Traffic from major hurricane evacuations is known to cause severe gridlocks on evacuation routes. Better prediction of the expected amount of evacuation traffic is needed to improve the decision-making process for the required evacuation routes and possible deployment of special traffic...

One important function of banks is to issue liabilities, like demand deposits, that are relatively safe and also liquid (usable as means of payment). We introduce risk of theft and a safe-keeping role for banks into monetary theory. This provides a general equilibrium framework for analyzing...

We study the quot;efficient marketsquot; paradigm in the context of agency relations: principal-investors want to monitor and compensate their agent-traders using market security prices in quot;mark-to-marketquot; contracts. The view of each principal is that market prices aggregate the...