In this paper we characterise the properties of the longitudinal path of consumption and wealth of an individual endowed with constant-relative-risk-aversion preferences and facing finite lifetime and lognormally distributed random returns on savings. In particular, we ana-lyse the role of the deep parameters of the model - i.e. degree of prudence, riskiness and the expected rate of return of capital- in shaping the characteristics of both the level and the rate of growth of consumption and wealth.
A Complete Characterization of “Optimum Accumulation” under Interest Rate Risk and Finite Horizon
Pier Mario Pacini;Luca Spataro
2024-01-01
Abstract
In this paper we characterise the properties of the longitudinal path of consumption and wealth of an individual endowed with constant-relative-risk-aversion preferences and facing finite lifetime and lognormally distributed random returns on savings. In particular, we ana-lyse the role of the deep parameters of the model - i.e. degree of prudence, riskiness and the expected rate of return of capital- in shaping the characteristics of both the level and the rate of growth of consumption and wealth.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
