This paper investigates a financial market in which investors with linear mean-variance preferences and multiperiod planning horizons of arbitrary finite length interact. Given heterogeneous subjective beliefs, the temporary equilibrium map determining market clearing prices is calculated...

The paper develops a large-scale overlapping generations model with production and a stochastic asset market. The role of a pension system and the impact of demographic change on real and financial markets are analyzed. In the absence of demographic change a reduction in contribution rates...

This paper studies the impact of variations of a pay-as-you-go pension system on welfare in a stochastic overlapping generations model where compulsory public retirement savings coexist with private savings in assets and bonds. It is shown that, for a stationary population, any reduction of...

This paper studies the consumption-investment problem of a consumer with a multi-period planning horizon under uncertainty. Such a setting occurs naturally in stochastic OLG models with multi-period-lived consumers. We provide a rigorous characterization of consumption-investment strategies...