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Labor Income, Borrowing Constraints, and Equilibrium Asset Prices

Citations

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Cited by:

  1. John H. Cochrane, 2014. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," Journal of Finance, American Finance Association, vol. 69(1), pages 1-49, February.
  2. Wang, Ting & Young, Virginia R., 2012. "Maximizing the utility of consumption with commutable life annuities," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 352-369.
  3. Lioui, Abraham & Poncet, Patrice, 2003. "Dynamic asset pricing with non-redundant forwards," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1163-1180, May.
  4. Zvi Bodie & Jonathan Treussard & Paul S. Willen, 2007. "The theory of life-cycle saving and investing," Public Policy Discussion Paper 07-3, Federal Reserve Bank of Boston.
  5. Duffie, Darrell & Fleming, Wendell & Soner, H. Mete & Zariphopoulou, Thaleia, 1997. "Hedging in incomplete markets with HARA utility," Journal of Economic Dynamics and Control, Elsevier, vol. 21(4-5), pages 753-782, May.
  6. Schwartz, Eduardo S & Tebaldi, Claudio, 2004. "Illiquid Assets and Optimal Portfolio Choice," University of California at Los Angeles, Anderson Graduate School of Management qt7q65t12x, Anderson Graduate School of Management, UCLA.
  7. Bodie, Zvi & Detemple, Jerome B. & Otruba, Susanne & Walter, Stephan, 2004. "Optimal consumption-portfolio choices and retirement planning," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1115-1148, March.
  8. repec:dau:papers:123456789/5374 is not listed on IDEAS
  9. Fehle, Frank, 2004. "A note on transaction costs and the existence of derivatives markets," Journal of Economics and Business, Elsevier, vol. 56(1), pages 63-70.
  10. Mehlkopf, R.J., 2011. "Risk sharing with the unborn," Other publications TiSEM fe8a8df6-455f-4624-af10-9, Tilburg University, School of Economics and Management.
  11. von Thadden, Ernst-Ludwig, 2002. "An incentive problem in the dynamic theory of banking," Journal of Mathematical Economics, Elsevier, vol. 38(1-2), pages 271-292, September.
  12. Dirk Becherer & Wilfried Kuissi-Kamdem & Olivier Menoukeu-Pamen, 2023. "Optimal consumption with labor income and borrowing constraints for recursive preferences," Working Papers hal-04017143, HAL.
  13. Miao, Jianjun & Zhang, Yuzhe, 2015. "A duality approach to continuous-time contracting problems with limited commitment," Journal of Economic Theory, Elsevier, vol. 159(PB), pages 929-988.
  14. Barbachan, José Santiago Fajardo, 2003. "Optimal Consumption and Investment with Lévy Processes," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 57(4), October.
  15. Guodong Ding & Daniele Marazzina, 2021. "Effect of Labour Income on the Optimal Bankruptcy Problem," Papers 2106.15426, arXiv.org.
  16. Roche, Hervé & Tompaidis, Stathis & Yang, Chunyu, 2013. "Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios," Journal of Financial Economics, Elsevier, vol. 109(3), pages 775-796.
  17. Hindy, Ayman, 1995. "Viable prices in financial markets with solvency constraints," Journal of Mathematical Economics, Elsevier, vol. 24(2), pages 105-135.
  18. Adrien Verdelhan, 2010. "A Habit‐Based Explanation of the Exchange Rate Risk Premium," Journal of Finance, American Finance Association, vol. 65(1), pages 123-146, February.
  19. Jang, Bong-Gyu & Park, Seyoung & Rhee, Yuna, 2013. "Optimal retirement with unemployment risks," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3585-3604.
  20. Ashley Davey & Michael Monoyios & Harry Zheng, 2021. "Duality for optimal consumption with randomly terminating income," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1275-1314, October.
  21. Tyler Abbot, 2017. "General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences," Papers 1706.05877, arXiv.org, revised Jun 2018.
  22. Hugonnier, Julien & Prieto, Rodolfo, 2015. "Asset pricing with arbitrage activity," Journal of Financial Economics, Elsevier, vol. 115(2), pages 411-428.
  23. Liya Liu & Yingjie Niu & Yuanping Wang & Jinqiang Yang, 2020. "Optimal consumption with time-inconsistent preferences," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(3), pages 785-815, October.
  24. Ding, Guodong & Marazzina, Daniele, 2022. "The impact of liquidity constraints and cashflows on the optimal retirement problem," Finance Research Letters, Elsevier, vol. 49(C).
  25. Ashley Davey & Michael Monoyios & Harry Zheng, 2020. "Duality for optimal consumption with randomly terminating income," Papers 2011.00732, arXiv.org, revised May 2021.
  26. Doriana Ruffino, 2014. "Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(1), pages 107-130, January.
  27. Agnirup Sarkar, 2020. "Market capitalization and growth with nominal and real rigidities: the case of emerging economies," Indian Economic Review, Springer, vol. 55(2), pages 165-198, December.
  28. Kyoung Jin Choi & Gyoocheol Shim & Yong Hyun Shin, 2008. "Optimal Portfolio, Consumption‐Leisure And Retirement Choice Problem With Ces Utility," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 445-472, July.
  29. Chen, An & Vellekoop, Michel, 2017. "Optimal investment and consumption when allowing terminal debt," European Journal of Operational Research, Elsevier, vol. 258(1), pages 385-397.
  30. Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
  31. Chen, Zheng & Li, Zhongfei & Zeng, Yan, 2023. "Portfolio choice with illiquid asset for a loss-averse pension fund investor," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 60-83.
  32. Philip H. Dybvig & Hong Liu, 2011. "Verification Theorems for Models of Optimal Consumption and Investment with Retirement and Constrained Borrowing," Mathematics of Operations Research, INFORMS, vol. 36(4), pages 620-635, November.
  33. Mnif, Mohammed & Pham, Huyên, 2001. "Stochastic optimization under constraints," Stochastic Processes and their Applications, Elsevier, vol. 93(1), pages 149-180, May.
  34. Junkee Jeon & Hyeng Keun Koo & Kyunghyun Park, 2018. "Optimal Insurance with Limited Commitment in a Finite Horizon," Papers 1812.11669, arXiv.org, revised Jan 2019.
  35. Cuoco, Domenico & Cvitanic, Jaksa, 1998. "Optimal consumption choices for a 'large' investor," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 401-436, March.
  36. Kamma, Thijs & Pelsser, Antoon, 2022. "Near-optimal asset allocation in financial markets with trading constraints," European Journal of Operational Research, Elsevier, vol. 297(2), pages 766-781.
  37. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2004. "A geometric approach to multiperiod mean variance optimization of assets and liabilities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1079-1113, March.
  38. Masahiko Egami & Hideki Iwaki, 2007. "An optimal life insurance policy in the investment-consumption problem in an incomplete market," Papers 0801.0195, arXiv.org, revised May 2011.
  39. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 32, July-Dece.
  40. Munk, Claus, 2000. "Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 24(9), pages 1315-1343, August.
  41. Morten Tolver Kronborg, 2014. "Optimal Consumption and Investment with Labor Income and European/American Capital Guarantee," Risks, MDPI, vol. 2(2), pages 1-24, May.
  42. Dybvig, Philip H. & Liu, Hong, 2010. "Lifetime consumption and investment: Retirement and constrained borrowing," Journal of Economic Theory, Elsevier, vol. 145(3), pages 885-907, May.
  43. Stavros Panageas, 2007. "Optimal Retirement Benefit Guarantees," 2007 Meeting Papers 172, Society for Economic Dynamics.
  44. Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
  45. Paul Ehling, 2004. "Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership," Econometric Society 2004 North American Winter Meetings 311, Econometric Society.
  46. Barucci, Emilio & Biffis, Enrico & Marazzina, Daniele, 2023. "Health insurance, portfolio choice, and retirement incentives," European Journal of Operational Research, Elsevier, vol. 307(2), pages 910-921.
  47. Ricardo Caballero & Stavros Panageas, 2005. "A Quantitative Model of Sudden Stops and External Liquidity Management," NBER Working Papers 11293, National Bureau of Economic Research, Inc.
  48. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
  49. Jeon, Junkee & Park, Kyunghyun, 2023. "Optimal job switching and retirement decision," Applied Mathematics and Computation, Elsevier, vol. 443(C).
  50. Farhi, Emmanuel & Panageas, Stavros, 2007. "Saving and investing for early retirement: A theoretical analysis," Journal of Financial Economics, Elsevier, vol. 83(1), pages 87-121, January.
  51. Wahid Faidi & Hanen Mezghanni & Mohamed Mnif, 2019. "Expected Utility Maximization Problem Under State Constraints and Model Uncertainty," Journal of Optimization Theory and Applications, Springer, vol. 183(3), pages 1123-1152, December.
  52. Stavros Panageas, 2010. "Optimal retirement benefit guarantees," NBER Working Papers 15805, National Bureau of Economic Research, Inc.
  53. Xiang Gao & Cody Hyndman & Traian A. Pirvu & Petar Jevti'c, 2022. "Optimal annuitization post-retirement with labor income," Papers 2202.04220, arXiv.org.
  54. Munk, Claus & Sørensen, Carsten, 2010. "Dynamic asset allocation with stochastic income and interest rates," Journal of Financial Economics, Elsevier, vol. 96(3), pages 433-462, June.
  55. Stavros Panageas, 2020. "The Implications of Heterogeneity and Inequality for Asset Pricing," NBER Working Papers 26974, National Bureau of Economic Research, Inc.
  56. Hyeng Keun Koo & Kum-Hwan Roh & Yong Hyun Shin, 2021. "Optimal consumption/investment and retirement with necessities and luxuries," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(2), pages 281-317, October.
  57. Zvi Bodie & Jérôme Detemple & Marcel Rindisbacher, 2009. "Life-Cycle Finance and the Design of Pension Plans," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 249-286, November.
  58. Yumi Oum & Shmuel S. Oren, 2010. "Optimal Static Hedging of Volumetric Risk in a Competitive Wholesale Electricity Market," Decision Analysis, INFORMS, vol. 7(1), pages 107-122, March.
  59. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2016.
  60. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
  61. Hajivassiliou, Vassilis A. & Ioannides, Yannis M., 1996. "Duality and liquidity constraints under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 1177-1192.
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