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Savings and Portfolio Choice in a Two-Period Two-Asset Model

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Author Info

  • Saku Aura
  • Peter Diamond
  • John Geanakoplos

Abstract

We extend Arrow's analysis of portfolio choice in a one-period model to savings and portfolio choice in a two-period model.

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File URL: http://www.aeaweb.org/articles.php?doi=10.1257/00028280260344713
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Bibliographic Info

Article provided by American Economic Association in its journal American Economic Review.

Volume (Year): 92 (2002)
Issue (Month): 4 (September)
Pages: 1185-1191

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Handle: RePEc:aea:aecrev:v:92:y:2002:i:4:p:1185-1191

Note: DOI: 10.1257/00028280260344713
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References

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  1. Peter Diamond & Jean Geanakoplos, 1999. "Social Security Investment in Equities I: Linear Case," NBER Working Papers 7103, National Bureau of Economic Research, Inc.
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Cited by:
  1. David C. Webb, 2007. "Pension plan funding, risk sharing and technology choice," LSE Research Online Documents on Economics 24641, London School of Economics and Political Science, LSE Library.
  2. D'Amato, Marcello & Galasso, Vincenzo, 2002. "Aggregate Risk, Political Constraints and Social Security Design," CEPR Discussion Papers 3330, C.E.P.R. Discussion Papers.
  3. Saku Aura, 2004. "Estate and Capital Gains Taxation: Efficiency and Political Economy Consideration," CESifo Working Paper Series 1198, CESifo Group Munich.
  4. Menezes, Carmen F. & Henry Wang, X. & Bigelow, John P., 2005. "Duality and consumption decisions under income and price risk," Journal of Mathematical Economics, Elsevier, vol. 41(3), pages 387-405, April.

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