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Journal article

Optimal decision-making with time diversification

  • Vanini, Paolo Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
  • Vignola, Luigi Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
    2001
Published in:
  • European Finance Review. - 2002, vol. 6, no. 1-30
Cross-sectional risk
Intertemporal risk-smoothing
Risk-sharing , Time diversification
Incomplete financial markets
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.
Language
  • English
Classification
Economics
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Identifiers
  • RERO DOC 5390
  • ARK ark:/12658/srd1318070
Persistent URL
https://n2t.net/ark:/12658/srd1318070
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