Recursive Allocations and Wealth Distribution with Multiple Goods: Existence, Survivorship, and Dynamics

62 Pages Posted: 23 Jul 2010 Last revised: 14 Apr 2020

See all articles by Ric Colacito

Ric Colacito

University of North Carolina Kenan-Flagler Business School; NBER

Mariano (Max) Massimiliano Croce

Finance Department, Bocconi University; Centre for Economic Policy Research (CEPR)

Zhao Liu

Duke University, Department of Economics, Students

Date Written: March 28, 2018

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 non-degenerate 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.

JEL Classification: C62, F37, G1

Suggested Citation

Colacito, Riccardo and Croce, Mariano Massimiliano and Liu, Zhao, Recursive Allocations and Wealth Distribution with Multiple Goods: Existence, Survivorship, and Dynamics (March 28, 2018). Available at SSRN: https://ssrn.com/abstract=1647883 or http://dx.doi.org/10.2139/ssrn.1647883

Riccardo Colacito

University of North Carolina Kenan-Flagler Business School ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

HOME PAGE: http://drric.web.unc.edu/

NBER ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Mariano Massimiliano Croce (Contact Author)

Finance Department, Bocconi University ( email )

Via Sarfatti, 25
Milan, MI 20136
Italy

HOME PAGE: http://sites.google.com/view/mmcroce/home

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Zhao Liu

Duke University, Department of Economics, Students ( email )

Durham, NC
United States

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