In the neoclassical model of consumer behavior, considerable work has been done investigating when a consumer's demand behavior can be described as having been derived from utility maximization. However, most discussions are in a certainty world. We expand on prior analyses in an uncertainty...

The demand for commodities in standard applications typically is increasing in income, whereas the demand for the risk free asset in the classic portfolio problem often decreases with income. The latter is shown to occur if and only if the consumer's uncertainty preferences over assets satisfy...

We use a modified corporate risk management framework (e.g., Froot and Stein, 1998) to understand how inefficient risk sharing between firms and employees leads to aggressive investment policies of defined corporate pensions as well as their declining popularity. For reasonable parameter values,...

Asset heterogeneity is widely believed to hurt the liquidity in markets of many important fixed-income assets such as corporate and municipal bonds. We develop a model in which heterogeneous assets are traded with search friction to study the impact of a quasi-consolidated (QC) trading design in...