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

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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://cowles.econ.yale.edu/P/cd/d12b/d1268.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1268.

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Length: 9 pages
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Publication status: Published in The American Economic Review (2002): 92(4): 1185-1191
Handle: RePEc:cwl:cwldpp:1268

Note: CFP 1078
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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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. Saku Aura, 2004. "Estate and Capital Gains Taxation: Efficiency and Political Economy Considerations," Public Economics 0404011, EconWPA.
  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. 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.
  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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