We investigate the optimal investment and consumption choice of individual investors with uncertain future labor income operating in a financial market with stochastic interest rates. Since the present value of the individual's future income is a main determinant of the optimal behavior and this...

The paper provides the solution to a dynamic portfolio problem of an investor who faces borrowing and short sales constraints in a setting with stochastic interest rates. The multi-asset dynamic problem is reduced to a constrained quadratic optimization problem which is similar to the well-known...

We characterize the solution to the consumption and investment problem of a time-additive power utility investor in a continuous-time dynamically complete market with stochastic changes in the opportunity set. It is demonstrated that under stochastic interest rates the investor optimally hedges...

We characterize the solution to the consumption and investment problem of a power utility investor in a continuous-time dynamically complete market with stochastic changes in the opportunity set. Under stochastic interest rates the investor optimally hedges against changes in the term structure...

The paper presents a modified version of the Garman-Kohlhagen formula for pricing European currency options. The equilibrium approach deviates from the no-arbitrage approach by allowing domestic and foreign interest rates and their dynamics to be determined endogenously in the model. By using...

Global digital platforms are conquering the world and rely critically on digital infrastructures to function, yet little research has explored the fundamental interrelationship between the two. This working paper argues that understanding centralization and decentralization in digital networks...