We propose an equilibrium model of exhaustible resources in a comprehensive setting, including exploration, stochastic demand, and stochastic reserve, by extending the models in Pindyck (1980) and Anderson, Kellogg, and Salant (2018). The production adjustments can be quite general, e.g., sudden...

We consider a long-term portfolio choice problem with two illiquid and correlated assets and formulate it as an eigenvalue problem in the form of a variational inequality. The eigenvalue is associated with the portfolio’s optimal long-term growth rate, and the free boundaries implied by the...

We develop a model where a realization-utility investor (Barberis and Xiong, 2009, 2012; Ingersoll and Jin, 2013) optimally targets her liquid-illiquid wealth ratio at a constant w∗. By saving in the risk-free asset (w∗ 0), she makes smaller bets in the illiquid asset and realizes gains/losses...