Equilibrium portfolios in the neoclassical growth model

• 成果类型: Article
• 署名作者: Espino, Emilio
• 署名单位: Universidad Torcuato Di Tella
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2007.02.003
• 发表日期: 2007
• 页码: 673-687
• 关键词: Neoclassical growth model; equilibrium portfolios; complete markets

摘要

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 equilibrium strategy in stationary endowment economies with dynamically complete markets. However, when the 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. (c) 2007 Elsevier Inc. All rights reserved.