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...

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...

Models with event risk (the possibility of sudden large price movements) have proven important for option pricing (e.g., Bates (1996))and optimal portfolio selection (e.g., Liu, Longstaff and Pan(2003)). However, most of the existing studies ignore transaction costs which are prevalent in almost...

Contrary to the prediction of standard portfolio diversification theory, most investors place a large fraction of their stock investment in a small number of stocks. We show that underdiversification may be caused by risk control. The key assumption is that investors are portfolio insurers who...

Conflicts of interest between insiders (e.g, controlling shareholders) and outsiders (e.g., minority shareholders) are central to the analysis of modern corporation. In an integrated continuous-time contingent claims framework with imperfect corporate governance, we examine a controlling...

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...

Bilateral supply contracts are widely used despite the presence of spot markets. In this paper we provide a potential explanation for this prevalence of supply contracts even when spot markets are liquid and without delivery lag. Specifically, we consider the determination of an equilibrium...

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...