Research Papers on Consumption and Portfolio Choice
- “Scale-Invariant Asset Pricing and Consumption/Portfolio Choice with General Attitudes toward Risk and Uncertainty,” Mathematics and Financial Economics, 2013, 7, 431-456.
- “Dynamic Portfolio Choice and Risk Aversion,” chapter in Financial Engineering, edited by J. R. Birge and V. Linetsky, Vol. 15, Elsevier, 2008.
- “Optimality and State Pricing in Constrained Financial Markets with Recursive Utility under Continuous and Discontinuous Information,” (with M. Schroder) Mathematical Finance, 2008, 18, 199-238 (lead article).
- “Lifetime Consumption-Portfolio Choice under Trading Constraints, Recursive Preferences and Nontradeable Income,” (with M. Schroder) Stochastic Processes and their Applications, 2005, 115, 1-30 (lead article).
- “Optimal Lifetime Consumption-Portfolio Strategies under Trading Constraints and Generalized Recursive Preferences’‘ (with M. Schroder) Stochastic Processes and their Applications, 2003, 108, 155-202 (lead article).
- “An Isomorphism between Asset Pricing Models with and without Linear Habit Formation,’‘ (with M. Schroder) Review of Financial Studies, 2002, 15, 1189-1221. Recipient of Barclays Global Investors/Michael Brennan runner-up award for the best paper published in RFS, 2002.
- “Optimal Consumption and Portfolio Selection with Stochastic Differential Utility,” (with M. Schroder) Journal of Economic Theory, 1999, 89, 68-126. Working paper with additional results.