The paper presents a dynamic theory for time-inconsistent problems of optimal stopping. The theory is developed under the paradigm of expected discounted payoff, where the process to stop is continuous and Markovian. We introduce equilibrium stopping policies, which are implementable stopping...

We consider the problem of stopping a diffusion process with a payoff functional involving probability distortion. The problem is inherently time-inconsistent as the level of distortion of a same event changes over time. We study stopping decisions of naive agents who reoptimize continuously in...

Health-care slows the natural growth of mortality, indirectly increasing utility from consumption through longer lifetimes. This paper solves the problem of optimal dynamic consumption and healthcare spending with isoelastic utility, when natural mortality grows exponentially to reflect the...

In a discrete-time market, we study model-independent superhedging, while the semi-static superhedging portfolio consists of three parts: static positions in liquidly traded vanilla calls, static positions in other tradable, yet possibly less liquid, exotic options, and a dynamic trading...

We estimate a model in which fiscal and monetary policy obey the targeting rules of distinct policy authorities, with potentially different objective functions. We find: (1) Time-consistent policy fits U.S. time series at least as well as instrument-rules-based behavior; (2) American policies...

We develop a Fiscal Frontier which traces out the maximum government debt level that can be sustained at a given welfare cost. Through duality, the intertemporal policy mix underpinning the Frontier mirrors standard Ramsey policy and defines an upper limit on the welfare gains that can be...

We estimate a model in which fiscal and monetary policy behavior arise from the optimizing behavior of distinct policy authorities, with potentially different welfare functions. Optimal time-consistent policy behavior fits U.S. time series at least as well as rules-based behavior. American...