Working Paper

Bond Portfolios and Two-Fund Separation in the Lucas Asset-Pricing Model

CMS-EMS Discussion Paper No. 1427
Author(s)

Kenneth Judd

Felix Kubler

Karl Schmedders

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.