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

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  • 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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Suggested Citation

  • Saku Aura & Peter Diamond & John Geanakoplos, 2002. "Savings and Portfolio Choice in a Two-Period Two-Asset Model," American Economic Review, American Economic Association, vol. 92(4), pages 1185-1191, September.
  • Handle: RePEc:aea:aecrev:v:92:y:2002:i:4:p:1185-1191
    Note: DOI: 10.1257/00028280260344713
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    References listed on IDEAS

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    1. Peter Diamond & John Geanakoplos, 1999. "Social Security Investment in Equities I: Linear Case," Working papers 99-10, Massachusetts Institute of Technology (MIT), Department of Economics.
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    Cited by:

    1. Creedy, John & Gemmell, Norman & Scobie, Grant, 2015. "Pensions, savings and housing: A life-cycle framework with policy simulations," Economic Modelling, Elsevier, vol. 46(C), pages 346-357.
    2. Antoniadou, Elena & Mirman, Leonard J. & Santugini, Marc, 2016. "The income effect under uncertainty: A Slutsky-like decomposition with risk aversion," Economic Modelling, Elsevier, vol. 55(C), pages 169-178.
    3. Webb, David C., 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. Saku Aura, 2004. "Estate and Capital Gains Taxation: Efficiency and Political Economy Considerations," Public Economics 0404011, EconWPA.
    5. Felix Kubler & Larry Selden & Xiao Wei, 2013. "Inferior Good and Giffen Behavior for Investing and Borrowing," American Economic Review, American Economic Association, vol. 103(2), pages 1034-1053, April.
    6. D'Amato, Marcello & Galasso, Vincenzo, 2002. "Aggregate Risk, Political Constraints and Social Security Design," CEPR Discussion Papers 3330, C.E.P.R. Discussion Papers.
    7. 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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