Optimal decision-making with time diversification
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Vanini, Paolo
Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
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Vignola, Luigi
Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
Published in:
- European Finance Review. - 2002, vol. 6, no. 1-30
English
One of the most enduring topics in financial theory is the persistence of investment risk across time. Traditional finance lacks methods for considering and hedging non-diversifiable risks. This paper is based on the general equilibrium model of Allen and Gale (1997). We extend their model in various directions: the intermediary is a firm and not a planner, financial markets are assumed to be incomplete, and the mechanism of intergenerational risk-sharing is endogenously determined. Our model allows for the analysis of optimal behavior of individuals and the intermediary together with the respective feedback processes.
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Economics
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License undefined
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RERO DOC
5390
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ARK
ark:/12658/srd1318070
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https://n2t.net/ark:/12658/srd1318070
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