We examine the extent to which an investor's tastes and beliefs can be jointly recovered from knowledge of his/her consumption choice. More precisely, we assume that the investor's preferences admit an expected utility representation, but with subjective (unknown) probabilities, and investigate...

We provide a framework in which we link the valuation and asset allocation policies of defined benefits plans with the lifetime marginal productivity schedule of the worker and the pension plan formula. In turn, we examine the retirement policies that are implied by the primitives of the model...

We consider the problem of the optimal time to purchase a house by a risk-averse investor who has access to complete financial markets and whose objective is to maximize expected utility from wealth at some fixed horizon. The house purchase is financially attractive (due to tax advantages, for...

For the first time in the literature, we derive an analytic expression for the representative agent of a fairly general class of economies populated by agents with catching up with the Joneses preferences, but with heterogeneous risk-aversion. As Chan and Kogan (2002) show numerically, the...

We propose the use of a new option which we call quadratic, and that central banks could use to smooth exchange rate volatility through the hedging strategies of the issuers. We derive analytic pricing and hedging formulas. We suggest a criterion to derive the optimal (for the Central Bank)...

We conduct a controlled laboratory experiment where subjects dynamically choose their portfolio allocation between a safe and a risky asset. We first derive analytically the optimal allocation of an expected utility maximizer with HARA utility function. We then fit the experimental choices to...

We construct an intertemporal equilibrium with two agents with heterogeneous beliefs. Heterogeneity of beliefs induces volatility of the interest rate. We study the effect of financial innovation on interest rate volatility and conclude that, in a setting of asymmetric beliefs, introducing the...

We consider a pure exchange economy consisting of a single risky asset whose dividend drift rate is modelled by an Ornstein-Uhlenbeck process, and a representative agent with power-utility who, in equilibrium, consumes the dividend paid by the risky asset. Endogenously determined interest rates...