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Working Paper
Bond Portfolios and Two-Fund Separation in the Lucas Asset-Pricing Model
CMS-EMS Discussion Paper No. 1427
Author(s)
This paper examines investors' portfolios in a dynamic (Lucas-style) general equilibrium model with heterogeneous agents. The celebrated two-fund separation theorem from static portfolio analysis generalizes, under the classical preference assumptions,
Date Published:
2007
Citations:
Judd, Kenneth, Felix Kubler, Karl Schmedders. 2007. Bond Portfolios and Two-Fund Separation in the Lucas Asset-Pricing Model. CMS-EMS Discussion Paper No. 1427.