We propose an asset pricing model featuring both limited participation and heterogeneity, in which agents randomly participate in the bond and stock markets according to a probability that depends on their non-financial income. We develop an indirect inference method to estimate our model on...

We present a simple theory of business-cycle movements of option prices and volumes. This theory relies on time-varying heterogeneity between agents in their demand for insurance against aggregate risk. Formally, we build an infinite-horizon model where agents face an aggregate risk, but also...

We analyze the term structure of real interest rates in a general equilibrium model with incomplete markets and borrowing constraints. Agents are subject to both aggregate and idiosyncratic income shocks, which latter may force them into early portfolio liquidation in a bad aggregate state. We...

We introduce the Monte-Carlo based heuristic with first-come-first-served approximation for future optimal strategy (MC-FCFS) in order to maximize profit in a network revenue management problem. Like the randomized linear programming (RLP) model, one purpose of the MC-FCFS heuristic is to have...

An axiomatic construction for lifecycle preferences accounting for the finiteness and the randomness of life duration is provided. We emphasize the role of intertemporal correlation aversion and explain why multiplicative preferences provide an interesting alternative to additive preferences,...