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Life Insurance Demand under Health Shock Risk
(2015-06-03)
This paper studies the life cycle consumption-investment-insurance problem of a family. The wage earner faces the risk of a health shock that significantly increases his probability of dying. The family can buy long-term ...
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 ...
Consumption-Investment Problems with Stochastic Mortality Risk
(2014-03-03)
I numerically solve realistically calibrated life cycle consumption-investment problems in continuous time featuring stochastic mortality risk driven by jumps, unspanned labor income as well as short-sale and liquidity ...
Critical Illness Insurance in Life Cycle Portfolio Problems
(2014-03-03)
I analyze a critical illness insurance in a consumption-investment model over the life cycle. I solve a model with stochastic mortality risk and health shock risk numerically. These shocks are interpreted as critical illness ...
Preference Evolution and the Dynamics of Capital Markets
(2016-05-13)
This paper introduces endogenous preference evolution into a Lucas-type economy and explores its consequences for investors' trading strategy and the dynamics of asset prices. In equilibrium, investors herd and hold the ...