English, Article, Journal or magazine article edition: Equilibrium Portfolios in the Neoclassical Growth Model Emilio Espino

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Bookmark: http://trove.nla.gov.au/version/30243
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Equilibrium Portfolios in the Neoclassical Growth Model
Author
  • Emilio Espino
Physical Description
  • preprint
Notes
  • This paper studies equilibrium portfolios in the standard neoclassical growth model under uncertainty with heterogeneous agents and dynamically complete markets. Preferences are purposely restricted to be quasi-homothetic. The main source of heterogeneity across agents is due to different endowments of shares of the representative firm at date 0. Fixing portfolios is the optimal strategy in stationary endowment economies with dynamically complete markets. Whenever an environment displays changing degrees of heterogeneity across agents, the trading strategy of fixed portfolios cannot be optimal in equilibrium. Very importantly, our framework can generate changing heterogeneity if and only if either minimum consumption requirements are not zero or labor income is not zero and the value of human and non-human wealth are linearly independent
  • Neoclassical Growth Model, Equilibrium Portfolios, Complete Markets
  • RePEc:red:sed006:92
Language
  • English
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