In this paper, we develop a new dynamic programming approach for solving an optimal retirement model in a two-dimensional incomplete market, which is induced by forced unemployment risk and borrowing constraints. We show that the two dimensions jointly affect an individual's optimal consumption,...

This paper examines stock liquidity in explaining the mixed relations between financial constraints and stock returns and the pricing of stock liquidity across financially constrained and unconstrained firms. We find a negative relation in liquid portfolios and a positive relation in illiquid...

In this paper, we view an individual's annuitization decision as an American-style call option whose underlying asset is financial wealth, which controls the distance to annuitization. We then derive a certain threshold of wealth over which the individual is optimal to annuitize all of her...