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Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs
(2015-02-01)
In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and ...
Optimal Consumption and Investment with Epstein-Zin Recursive Utility
(2016-07-04)
We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jac ...
The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis
(2016-01-25)
In a production economy with trade in financial markets motivated by the desire to share labor-income risk and to speculate, we show that speculation increases volatility of asset returns and investment growth, increases ...