Related papers: Optimal annuitization post-retirement with labor i…
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The setup is strongly…
We quantify the benefit of collectivised investment funds, in which the assets of members who die are shared among the survivors. For our model, with realistic parameter choices, an annuity or individual fund requires approximately 20\%…
Economic models assume that payroll tax burdens fall fully on workers, but where does tax incidence fall when taxes are firm-specific and time-varying? Unemployment insurance in the United States has the key feature of varying both across…
This paper examines the effects of the 2019 universalization of Mexico's Social Pension Program (PAM), one of the country's most expansive and politically salient social programs. The reform simultaneously increased the cash transfer and…
We study optimal rating design under moral hazard and strategic manipulation. An intermediary observes a noisy indicator of effort and commits to a rating policy that shapes market beliefs and pay. We characterize optimal ratings via…
In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential…
In this paper, we study the problem of expected utility maximization of an agent who, in addition to an initial capital, receives random endowments at maturity. Contrary to previous studies, we treat as the variables of the optimization…
It is known that the decision to purchase an annuity may be associated to an optimal stopping problem. However, little is known about optimal strategies, if the mortality force is a generic function of time and if the `subjective' life…
We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process whose local characteristics are driven by an unobservable finite-state Markov chain and by the liquidation rate. This model…
Scholars of social stratification often study exposures that shape life outcomes. But some outcomes (such as wage) only exist for some people (such as those who are employed). We show how a common practice -- dropping cases with…
Evidence on the effectiveness of retraining U.S. unemployed workers primarily comes from evaluations of training programs, which represent one narrow avenue for skill acquisition. We use high-quality records from Ohio and a matching method…
We extend the lifecycle model (LCM) of consumption over a random horizon (a.k.a. the Yaari model) to a world in which (i.) the force of mortality obeys a diffusion process as opposed to being deterministic, and (ii.) a consumer can adapt…
The first part of this paper is a brief survey of the approaches to economic inequality based on ideas from statistical physics and kinetic theory. These include the Boltzmann kinetic equation, the time-reversal symmetry, the ergodicity…
Chinese-style modernization involves the modernization of a large population, requiring top-level design in terms of scale and structure. The population perspective in Xi Jinping's Thought on Socialism with Chinese Characteristics for a New…
We explore martingale and convex duality techniques to study optimal investment strategies that maximize expected risk-averse utility from consumption and terminal wealth. We consider a market model with jumps driven by (multivariate)…
In this paper the robust utility maximization problem for a market model based on L\'evy processes is analyzed. The interplay between the form of the utility function and the penalization function required to have a well posed problem is…
We develop a Monte-Carlo based numerical method for solving discrete-time stochastic optimal control problems with inventory. These are optimal control problems in which the control affects only a deterministically evolving inventory…
We propose a duality theory for multi-marginal repulsive cost that appear in optimal transport problems arising in Density Functional Theory. The related optimization problems involve probabilities on the entire space and, as minimizing…
We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning argument, we determine the optimal strategy for power utility under the assumption…
This thesis mainly focuses on two problems in capital structure and individual's life-cycle portfolio choice. In the first problem, we derive a stochastic control model to optimize banks' dividend and recapitalization policies and calibrate…