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| Tekijä: | Luttmer, E.G.J. Mariotti, T. |
| Otsikko: | Subjective discounting in an exchange economy |
| Lehti: | Journal of Political Economy
2003 : OCT, VOL. 111:5, p. 959-989 |
| Asiasana: | Consumption Equilibrium analysis |
| Vapaa asiasana: | Exchange economy Subjective discounting |
| Kieli: | eng |
| Tiivistelmä: | The equilibrium of a discrete-time exchange economy in which consumers with arbitrary subjective discount factors and homothetic period utility functions follow linear Markov consumption and portfolio strategies is described in this article. Explicit expressions are given for state prices and consumption-wealth ratios. An analytical convenient continuous-time approximation is provided and it is shown how subjective rates of time preference affect risk-free rates but not instantaneous risk-return trade-offs. |
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