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Recursive allocations and wealth distribution with multiple goods : existence, survivorship, and dynamics
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Colacito, R., Croce, M. M. and Liu, Zhao (2019) Recursive allocations and wealth distribution with multiple goods : existence, survivorship, and dynamics. Quantitative Economics, 10 (1). pp. 311-351. doi:10.3982/QE457 ISSN 1759-7323.
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Official URL: http://dx.doi.org/10.3982/QE457
Abstract
We characterize the equilibrium of a complete markets economy with multiple agents featuring a preference for the timing of the resolution of uncertainty. Utilities are defined over an aggregate of two goods. We provide conditions under which the solution of the planner's problem exists, and it features a nondegenerate invariant distribution of Pareto weights. We also show that perturbation methods replicate the salient features of our recursive risk‐sharing scheme, provided that higher‐order terms are included.
Item Type: | Journal Article | ||||||||
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Subjects: | H Social Sciences > HB Economic Theory | ||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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Library of Congress Subject Headings (LCSH): | Distribution (Economic theory), Equilibrium (Economics), Financial risk, Utility theory | ||||||||
Journal or Publication Title: | Quantitative Economics | ||||||||
Publisher: | Econometric Society | ||||||||
ISSN: | 1759-7323 | ||||||||
Official Date: | January 2019 | ||||||||
Dates: |
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Volume: | 10 | ||||||||
Number: | 1 | ||||||||
Page Range: | pp. 311-351 | ||||||||
DOI: | 10.3982/QE457 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Open Access (Creative Commons) | ||||||||
Date of first compliant deposit: | 22 December 2020 | ||||||||
Date of first compliant Open Access: | 22 December 2020 | ||||||||
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