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
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
Other electronic version

Versione pubblicata

License
License undefined
Identifiers
  • RERO DOC 5390
Persistent URL
https://susi.usi.ch/usi/documents/318070
Statistics

Document views: 9 File downloads:
  • 1_fin0104.pdf: 1