We develop a model to predict consumer default based on deep learning. We show that the model consistently outperforms standard credit scoring models, even though it uses the same data. Our model provides favorable credit risk assessment to young borrowers relative to standard credit scoring...

We examine the profitability of personalized pricing policies that are derived using different specifications of demand in a typical retail setting with consumer-level panel data. We generate pricing policies from a variety of models, including Bayesian hierarchical choice models, regularized...

We conduct a lottery experiment to assess the predictive importance of simple choice process metrics (SCPMs) in forecasting risky 50/50 gambling decisions using different types of machine learning algorithms as well as traditional choice modeling approaches. The SCPMs are recorded during a fixed...

We document that prior portfolio choices influence investors' expectations about asset values, and their future choices. We find that people update more from information consistent with their prior choices, leading to sticky portfolios over time. These effects are related to how the brain's...

This paper proposes a general equilibrium model which features endogenous cross-country heterogeneity in conditional risk aversion and shows that it can generate significant equity home bias. With complete markets, financing home consumption entails hedging against increases in home conditional...

We analytically show that a common across rich/poor individuals Stone-Geary utility function with subsistence consumption in the context of a simple two-asset portfolio-choice model is capable of qualitatively and quantitatively explaining: (i) the higher saving rates of the rich, (ii) the...

Richer and healthier agents tend to hold riskier portfolios and spend proportionally less on health expenditures. Potential explanations include health and wealth e ffects on preferences, expected longevity or disposable total wealth. Using HRS data, we perform a structural estimation of a...

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 examine the role of political ideology in portfolio formation by studying a unique set of investors whose ideology can be precisely captured by a well-defined, continuous measure and whose personal asset allocation decisions are mandatorily disclosed - namely, the members of the U.S....