Equilibrium Portfolios in the Neoclassical Growth Model

Emilio Espino ()

No 87, Working Papers from Universidad de San Andres, Departamento de Economia

Abstract: This paper studies equilibrium portfolios in the standard neoclassical growth model under uncertainty with heterogeneous agents and dinamically 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 dinamically 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 G11 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2005-12, Revised 2005-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://webacademicos.udesa.edu.ar/pub/econ/doc87.pdf First version, 2005 (application/pdf)

Related works:
Journal Article: Equilibrium portfolios in the neoclassical growth model (2007)
Working Paper: Equilibrium Portfolios in the Neoclassical Growth Model (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:sad:wpaper:87

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