The present paper considers a retiree of a certain age who is endowed with a certain amount of wealth and is facing alternative investment opportunities. One possibility is to buy a single premium immediate (participating) annuity-contract....

This paper proposes a habit formation model that explains the failure of the expectations hypothesis documented by Campbell and Shiller (1991) and Fama and Bliss (1987).(...)

This paper determines survey questions on household consumption, especially how the choice of expenditure categories influences measures of household consumption.

We consider the problem of optimal consumption for an investor who is risk and uncertainty avers. We model these preferences of the investor with the help of a convex risk-measure...

What is the fundamental value of a stock? Do stock prices deviate from this fundamental value? If yes, do they go back to their fundamental value? This paper proposes to answer these three questions by using a stock valuation model based on the Consumption-Capital Asset Pricing Model (C-CAPM)...

The large spread between equity returns and risk free rates observed in most stock markets (the "equity premium puzzle") has been subject of intense debates. Two main families of models claim to solve this puzzle: habit formation models and loss aversion models. The goal of this paper is to...