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UNITED STATES SECURITIES AND EXCHANGE COMMISSION - PZENA INVESTMENT MANAGEMENT, INC.

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UNITED STATES SECURITIES AND EXCHANGE COMMISSION - PZENA INVESTMENT MANAGEMENT, INC.

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The model presented is also related to the literature in limited risk sharing and participation constraints (Kehoe and Levine (1993), Kocherlakota (1996) and Zhang (1997)). More recently, Alvarez and Jermann (2000, 2001) showed that these participation constraints can be modelled as endogenous portfolio constraints, which they denote solvency constraints. Besides extending this strand of the literature for the case of heterogeneous beliefs, I solve this problem in continuous time for the …rst time, thus generalizing it to the case of in…nite possible states.3 Moreover, I show that the problem can be solved using the stopping time approach, which is intuitive in that it shows that the allocation...

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