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Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence
We show that a life-cycle model with realistically calibrated uninsurable labor income risk and moderate risk aversion can simultaneously match stock market participation rates and asset allocationExpand
Asset Pricing with Limited Risk Sharing and Heterogeneous Agents
We solve a model with incomplete markets and heterogeneous agents that generates a large equity premium, while simultaneously matching stock market participation and individual asset holdings. TheExpand
Winners and Losers in Housing Markets
This paper is a quantitatively-oriented theoretical study into the interaction between housing prices, aggregate production, and household behaviour over a lifetime. We develop a life-cycle model ofExpand
Portfolio Choice and Liquidity Constraints
We study the infinite horizon model of household portfolio choice under liquidity constraints and revisit the portfolio specialization puzzle for impatient consumers with access to riskless and riskyExpand
How Deep is the Annuity Market Participation Puzzle?
Using UK microeconomic data, we analyze the empirical determinants of voluntary annuity market demand. We find that annuity market participation increases with financial wealth, life expectancy andExpand
Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators
The non-negativity constraint on inventories imposed on the rational expectations theory of speculative storage implies that the conditional mean and variance of commodity prices are non-linear inExpand
Portfolio Choice with Internal Habit Formation: A Life-Cycle Model with Uninsurable Labor Income Risk
Motivated by the success of internal habit formation preferences in explaining asset pricing puzzles, we introduce these preferences in a life-cycle model of consumption and portfolio choice withExpand
International Portfolio Choice, Liquidity Constraints and the Home Equity Bias Puzzle
This paper solves for optimal international portfolio choice in the presence of liquidity constraints and undiversifiable labor income risk. Optimal portfolios are internationally diversified whileExpand
Optimal Savings with Taxable and Tax-Deferred Accounts
TLDR
We solve and estimate a life-cycle model with earnings risk and liquidity constraints in the presence of tax-deferred retirement accounts (TDAs). Expand
Portfolio Choice with Internal Habit Formation: A Life-Cycle Model with Uninsurable Labour Income Risk
Motivated by the success of internal habit formation preferences in explaining asset pricing puzzles, we introduce these preferences in a life-cycle model of consumption and portfolio choice withExpand
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