Intertemporal preference with loss aversion: Consumption and risk-attitude
We study the consumption and portfolio selection problem of economic agents who face
consumption irreversibility: there is disutility from changing consumption levels. The derived …
consumption irreversibility: there is disutility from changing consumption levels. The derived …
[PDF][PDF] Equilibrium Analysis of Consumption and Portfolio Rules with Sustainable Spending Preferences
We study the portfolio choice problem of an investor who has preferences for sustaining the
current spending ability, referred to as sustainable spending preferences (SSP), and …
current spending ability, referred to as sustainable spending preferences (SSP), and …
Portfolio Choice and Market Equilibrium under Standard of Living Preferences
We study the portfolio choice problem of an investor who has preferences for sustaining the
standard of living (SLP) and investigate the equilibrium of a continuous-time pure exchange …
standard of living (SLP) and investigate the equilibrium of a continuous-time pure exchange …
Asset Pricing with Consumption Frictions
We study asset pricing with consumption frictions. Frictions in consumption include
adjustment costs which prevent a consumer from adjusting consumption freely, due to …
adjustment costs which prevent a consumer from adjusting consumption freely, due to …