This paper investigates an Epstein-Zin type investors' optimal consumption and portfolio choice problem in the presence of transaction costs and liquidation shocks. We model the liquidation shocks as a Poisson process, which enforces the representative investors to liquidate their wealth in an...

We study the consumption and investment model under time-varying liquidity constraints (TVLC) that are widely used in reality. We first develop a martingale method to analyze the case in which the borrowing limit is specified by the debt-to-income ratio limit and then extend this framework to...

We explore an optimal token holding and staking problem for cryptocurrency investors. Our investigation revolves around understanding the tradeoff between staking rewards/utility and the consequent illiquidity that emerges as a result of investor heterogeneity and the distinct structure of...