A two-period model with portfolio choice: understanding results from different solution methods

DOI10.1016/J.ECONLET.2014.05.028MaRDI QIDQ485593zbMATH OpenOpenAlexFDO

Authors Katrin Rabitsch, Serhiy Stepanchuk

Publication date 12 January 2015

Published in Economics Letters (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.econlet.2014.05.028

zbMATH Keywords

country portfoliossize of uncertaintysolution methods

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A method for solving general equilibrium models with incomplete markets and many financial assets
• A two-period model with portfolio choice: understanding results from different solution methods
• Asymptotic methods for asset market equilibrium analysis
• Country portfolio dynamics
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

Cited in

(4)

• Country portfolio dynamics
• A two-asset stochastic model for long-term portfolio selection
• A two-period model with portfolio choice: understanding results from different solution methods
• A two-period portfolio selection model for Asset-Backed Securitization

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