We study optimal portfolio, consumption-leisure and retirement choice of an infinitely-lived economic agent whose instantaneous preference is characterized by a constant elasticity of substitution(CES) function of consumption and leisure. We integrate in one model the optimal...

We present a continuous-time contracting model under moral hazard with many agents. The principal contracts many agents as a team, and they jointly produce correlated outcomes. We show the optimal contract for each agent is linear in outcomes of all other agents as well as his/her own. The...

We study an optimal portfolio and consumption choice problem of a family that combines life insurance for parents who receive deterministic labor income until the fixed time T. We consider utility functions of parents and children separately and assume that parents have an uncertain lifetime. If...

In this paper we consider a general consumption, portfolio and retirement optimization problem in which a working investor has borrowing constraints. Closed-form solutions are obtained for the utility maximization problems, and numerical procedures are given for the general utility function...