Discussion Paper
On the Stochastic Steady-State Behavior of Optimal Asset Accumulation in the Presence of Random Wage Fluctuations and Incomplete Markets
We establish rigorously the existence and properties of the stationary probability distribution which characterizes the accumulation of non-contingent financial claims by a risk averse individual who confronts random wage fluctuations and incomplete insurance markets. We show that there exists a unique, almost-everyhwere continuous stationary cumulative distribution function which characterizes the accumulation of non-contingent financial claims in a stochastic steady-state.