We study an optimal portfolio and consumption choice problem of family that combines life insurance of 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 uncertain lifetime. If...

We study the consumption and portfolio selection problem of an agent who faces consumption irreversibility: there is disutility from changing consumption levels. The derived preference exhibits intertemporal loss aversion toward consumption changes with the previous consumption level being the...

We study asset pricing with consumption frictions. Frictions in consumption include adjustment costs which prevent a consumer from adjusting consumption freely, due to transaction costs, commitments, search and learning costs, and psychological costs. The stochastic discount factor is determined...