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Heterogeneity, Efficiency and Asset Allocation with Endogenous Labor Supply: The Static Case

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  • Marcelo Bianconi

Abstract

We study the implications of consumption and labor allocations with ex ante efficiency and possibly ex post inefficiency on international/interregional portfolio diversification. The answers we obtain depend crucially on the market regime relative to unemployment insurance. If there are complete markets for unemployment insurance, changes in asset allocation are small in the presence of ex post inefficiency, but if there are incomplete markets for unemployment insurance, changes in asset allocation can be large. The direction of the asset movement is towards more diversification.

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  • Marcelo Bianconi, 2001. "Heterogeneity, Efficiency and Asset Allocation with Endogenous Labor Supply: The Static Case," Manchester School, University of Manchester, vol. 69(3), pages 253-268, June.
    • Handle: RePEc:bla:manchs:v:69:y:2001:i:3:p:253-268
    DOI: 10.1111/1467-9957.00246
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    Cited by:

    1. Turnovsky, Stephen J. & Bianconi, Marcelo, 2005. "Welfare Gains From Stabilization In A Stochastically Growing Economy With Idiosyncratic Shocks And Flexible Labor Supply," Macroeconomic Dynamics, Cambridge University Press, vol. 9(3), pages 321-357, June.
    2. Bianconi, Marcelo, 2008. "Heterogeneity, adverse selection and valuation with endogenous labor supply," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 113-126.
    3. Marcelo Bianconi, 2004. "Aggregate and Idiosyncratic Risk and the Behavior of Individual Preferences under Moral Hazard," Discussion Papers Series, Department of Economics, Tufts University 0410, Department of Economics, Tufts University.

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