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Age Clienteles Induced by Liquidity Constraints

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  • Brown, David P
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    Abstract

    Lifetime consumption-portfolio rules are analyzed for individuals with nonmarketable income. Future income for which liquidity constraints are not binding is "effectively marketable" and is capitalized, while other income is not capitalized. If the age-income profile is humped, then, for a given level of marketable wealth, relative risk aversion to gambles in marketable wealth is low for the middle-aged and high for the retired in the special case of isoelastic utility. The existence of these clienteles suggests that equilibrium security prices are determined, in part, by the distribution of wealth over age groups in the economy. Copyright 1990 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

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    Bibliographic Info

    Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

    Volume (Year): 31 (1990)
    Issue (Month): 4 (November)
    Pages: 891-912

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    Handle: RePEc:ier:iecrev:v:31:y:1990:i:4:p:891-912

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    Cited by:
    1. Kjetil Storesletten & Chris Telmer & Amir Yaron, . "Asset pricing with idiosyncratic risk and overlapping generations," GSIA Working Papers 226, Carnegie Mellon University, Tepper School of Business.
    2. Grislain-Letrémy, Céline, 2013. "Natural Disasters: Exposure and Underinsurance," Economics Papers from University Paris Dauphine 123456789/13276, Paris Dauphine University.
    3. Doriana Ruffino, 2012. "Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios," Carlo Alberto Notebooks 252, Collegio Carlo Alberto.
    4. Céline Grislain-Letremy, 2013. "Natural Disters : Exposure and Underinsurance," Working Papers 2013-15, Centre de Recherche en Economie et Statistique.
    5. C. Grislain-Letrémy, 2013. "Natural Disasters: Exposure and Underinsurance," Documents de Travail de la DESE - Working Papers of the DESE g2013-12, Institut National de la Statistique et des Etudes Economiques, DESE.

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