We study asset pricing with consumption frictions. Frictions in consumption include adjustment costs which prevent a consumer from adjusting consumption freely, due to transaction costs, commitments, search and learning costs, and psychological costs. The stochastic discount factor is determined...

We study a pure exchange economy with two groups of agents who exhibit different consumption patterns: one changes consumption immediately in response to shocks, but the other delays the response. We investigate the linkages among the consumption heterogeneity, business cycles, and asset returns...

In this article we provide a short survey on continuous-time portfolio selection. We explain the pioneering contribution of Merton and the use of dynamic programming. Then, we discuss Bismut's application of the Pontryagin maximum principle to portfolio selection and the dual martingale...

We explore an optimal token holding and staking problem for cryptocurrency investors. Our investigation revolves around understanding the tradeoff between staking rewards/utility and the consequent illiquidity that emerges as a result of investor heterogeneity and the distinct structure of...

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 study the consumption and portfolio selection problem of a finitely lived agent who derives utility from the stock of durable goods. We show that the agent's effective relative risk aversion implied by the optimal portfolio tends to decline and approaches zero, as the planning horizon...