I study investment and consumption decisions over time, with particular attention to maintaining living standards. My work examines consumption commitments, loss aversion, adjustable consumption bounds, labor income, borrowing constraints, and retirement.
I use stochastic control, optimal stopping, and duality methods to study individual financial decisions and their implications for risk sharing and asset prices.
My recent work explores computational methods for dynamic portfolio choice, including Pontryagin-guided policy optimization and adjoint-to-control recovery. Related work examines generative models for financial time-series forecasting and portfolio construction.
I am exploring how control-theoretic methods can inform the design of agentic AI systems. Questions of interest include planning under constraints, uncertainty, risk management, and human oversight. This is an emerging research direction.
My broader interests include the historical development of financial institutions and markets, financial centers, and the relationship between finance and economic development.