We study a continuous-time model of consumption and portfolio selection with the stochastic investment opportunity and the credit constraints endogenously determined in the business cycle modeled by the regime switch. By using the martingale approach and transformation into optimal stopping...

We study a continuous-time model of consumption and portfolio selection with limited commitment in a stochastic environment. The credit constraints of a household are determined endogenously in the credit market where creditors know that the household is not committed to payment of debt. By...

We investigate the dynamic consumption and portfolio selection problem of an agent who has an intertemporal preference with loss and risk aversion, as proposed by Choi et al. (2019a). We disentangle the effects of loss aversion from those of risk aversion on risk taking. We show by simulation...

In this paper we study a simple two-period asset pricing model to understand the implications of uninsurable labor income risk and/or borrowing constraints, limited stock market participation, heterogeneous labor income volatilities, and heterogeneous preferences. We appraise the performance of...