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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 & 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. 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. Saku Aura, 2004. "Estate and Capital Gains Taxation: Efficiency and Political Economy Considerations," Working Papers 0408, Department of Economics, University of Missouri, revised 16 Dec 2004.
    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.
    5. 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.
    6. 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.
    7. 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.
    8. Galasso, Vincenzo & D'Amato, Marcello, 2002. "Aggregate Risk, Political Constraints and Social Security Design," CEPR Discussion Papers 3330, C.E.P.R. Discussion Papers.

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