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 present a simple, Glosten-Milgrom type equilibrium model to analyze the decision of informed traders on whether to use limit or market orders. We show that even after incorporating an order's price impact, not only may informed traders prefer to use limit orders, but the probability that they...

Transactions, market orders and limit orders are three major factors which affect a specialist's information set and her inventory position. In modeling a specialist's quote updating process, before any exclusion of any of these factors, one should first address the fundamental question of their...

We present a simple, Glosten-Milgrom type equilibrium model to analyze the decision of informed traders on whether to use limit or market orders. We show that even after incorporating an order's price impact, not only may informed traders prefer to use limit orders, but the probability that they...

We examine the intertemporal optimal consumption and investmentproblem in a continuous-time economy with a divisible durable good. Consumption services are assumed to be proportional to the stock of the good held and adjustment of the stock is costly, in that it involves the payment of a...

The significant effects of market frictions on optimal consumption and investment have been widely documented throughout the literature. This dissertation devotes to address the issue when there are transaction costs in the consumption good market or when investors are subject to any combination...

The contribution of SMEs is extremely important to the economy in China, so how can they improve their competition and enhance their innovation capability, which is a serious problem for them to consider? Owing to global business development influence, Chinese SMEs need to know Western...

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...

Mutual funds are often restricted to allocate certain percentages of fund assets to certain securities that have different degrees of illiquidity. The coexistence of these restrictions and asset illiquidity and the interactions among them are important for the optimal trading strategy of a...