Gerber, Anke; Hens, Thorsten; Woehrmann, Peter - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2005
We consider a dynamic general equilibrium model with incomplete markets in which we derive conditions for separating the savings decision from the asset allocation decision. It is shown that with logarithmic utility functions this separation holds for any heterogeneity of discount factors while...