ダウンロード数: 258
タイトル: | Heterogeneous Risk Attitudes in a Continuous-Time Model |
著者: | Hara, Chiaki |
キーワード: | Heterogeneity risk attitudes hyperbolic absolute risk aversion representative consumer risk-sharing rules mutual fund theorem Ito's Lemma interest rates |
発行日: | Dec-2005 |
出版者: | Institute of Economic Research, Kyoto University |
誌名: | KIER Discussion Paper |
巻: | 609 |
抄録: | We prove that every continuous-time model in which all consumers have time-homogeneous and time-additive utility functions and share a common probabilistic belief and a common discount rate can be reduced to a static model. This result allows us to extend some of the existing results on the representative consumer and risk-sharing rules in static models to continuous-time models. We show that the equilibrium interest rate is lower and more volatile than in the standard representative consumer economy, and that the individual consumption growth rates are more dispersed than is predicted from the first-order conditions. |
URI: | http://hdl.handle.net/2433/129525 |
関連リンク: | http://ideas.repec.org/p/kyo/wpaper/609.html |
出現コレクション: | KIER Discussion Paper (英文版) |
このリポジトリに保管されているアイテムはすべて著作権により保護されています。