The study of household finance is challenging because household behavior is difficult to
measure, and households face constraints not captured by textbook models. Evidence on …

What is the effect of non-tradeable idiosyncratic risk on asset-market risk premiums?
Constantinides and Duffie [Constantinides, GM, Duffie, D., 1996. Asset pricing with …

In the United States wealth is highly concentrated and very unequally distributed: the richest
1% hold one third of the total wealth in the economy. Understanding the determinants of …

We develop a model with incomplete markets and heterogeneous agents that generates a
large equity premium, while simultaneously matching stock market participation and …

We use a standard single-agent model to conduct a simple consumption growth accounting
exercise. Consumption growth is driven by news about current and expected future returns …

The behavioral finance revolution in academic finance in the last several decades is best
described as a return to a more eclectic approach to financial modeling. The earlier …

Two empirical questions concerning the equity and housing have been studied
extensively:(1) Are the price and return serially correlated, and (2) What is the optimal weight …

In the present paper I develop a life-cycle portfolio choice model where agents perceive
stock returns to be ambiguous and are ambiguity averse. As in Epstein and Schneider …

US20090018969A1 - Systems and methods for providing investment strategies - Google Patents
US20090018969A1 - Systems and methods for providing investment strategies - Google Patents …

In the presence of overlapping generations, a social security system, with contingent taxes
and benefits, can affect both asset prices and intergenerational risksharing. In a simple …