The high cost of international economic and financial crises highlights the need for a comprehensive framework to assess the robustness of national economic and financial systems. This paper proposes a new comprehensive approach to measure, analyze, and manage macroeconomic risk based on the...

A common approach to the management of endowment is to treat it as if it were the only asset of the university. This approach leads to prescriptions for optimal investment and expenditure policies that are essentially the same across universities. Indeed, the resulting optimal portfolio...

This paper examines the effect of the labor-leisure choice on portfolio and consumption decisions over an individual's life cycle. The model incorporates the fact that individuals may have considerable flexibility in varying their work effort (including their choice of when to retire). Given...

The findings of Jensen-Long and Stiglitz on the optimality of the stock market allocation have led to a controversy over whether the sources of the nonoptimality of value maximization are noncompetive assumptions about the capital market or are inherent externalities associated with uncertainty...

"Presented at the Italian-American Conference in honor of Franco Modigliani, at Martha's Vineyard, September 19-20, 1985."