Equilibrium Portfolios in the Neoclassical Growth Model

Emilio Espino ()

No 92, 2006 Meeting Papers from Society for Economic Dynamics

Abstract: This paper studies equilibrium portfolios in the standard neoclassical growth model under uncertainty with heterogeneous agents and dynamically complete markets. Preferences are purposely restricted to be quasi-homothetic. The main source of heterogeneity across agents is due to different endowments of shares of the representative firm at date 0. Fixing portfolios is the optimal strategy in stationary endowment economies with dynamically complete markets. Whenever an environment displays changing degrees of heterogeneity across agents, the trading strategy of fixed portfolios cannot be optimal in equilibrium. Very importantly, our framework can generate changing heterogeneity if and only if either minimum consumption requirements are not zero or labor income is not zero and the value of human and non-human wealth are linearly independent

Keywords: Neoclassical Growth Model; Equilibrium Portfolios; Complete Markets (search for similar items in EconPapers)
JEL-codes: C61 D50 D90 E20 (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-dge and nep-mac
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Equilibrium portfolios in the neoclassical growth model (2007)
Working Paper: Equilibrium Portfolios in the Neoclassical Growth Model (2005)
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