Czasopismo
Tytuł artykułu
Warianty tytułu
Języki publikacji
Abstrakty
We consider a stochastic overlapping generations model for a continuum of individuals with finite lives in presence of a financial market. In this paper, an agent's heterogeneity is given by the dates of birth of the household members, in contrast to standard models, in which each agent has his own aversion coefficient on his utility function. By means of martingale arguments, we compute the agent's optimal consumption and portfolio. A characterization of interest rate trajectories is given by mixed-type functional differential equations and the stability of these trajectories is studied.
Słowa kluczowe
Kategorie tematyczne
Czasopismo
Rocznik
Tom
Numer
Strony
27-36
Opis fizyczny
Daty
wydano
2008
Twórcy
- Laboratoire de Mathématiques, Université de La Rochelle, Avenue Michel Crépeau, 17042 La Rochelle Cedex, France
autor
- Laboratoire de Mathématiques, Université de La Rochelle, Avenue Michel Crépeau, 17042 La Rochelle Cedex, France
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
DOI
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_4064-bc83-0-2