We study a finite horizon optimal contracting problem with limited commitment. A risk-neutral principal enters into an insurance contract with a risk-averse agent who receives a stochastic income stream and is unable to make commitment to keep the contract. This problem involves an infinite...

The optimal retirement decision is essentially an optimal stopping problem when retirement is irreversible. We investigate the optimal consumption, investment and retirement problem when the growth rate is unobservable and is estimated by filtering from historical stock prices. To ensure both...

We study a continuous-time optimal consumption and portfolio selection problem when an economic agent with recursive utility has stochastic income and debt-to-income borrowing limits. The optimal portfolio depends on the elasticity of intertemporal substitution (EIS) due to the borrowing...