Monotonicity of savings function in endogenous gridpoint method with stochastic portfolio returns

DOI10.1016/J.ECONLET.2024.111740MaRDI QIDQ6594309zbMATH OpenFDO

Authors Tiancheng Huang, Gaurav Khemka, Wing Fung Chong

Publication date 28 August 2024

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2024.111740

zbMATH Keywords

endogenous grid methodmonotonicity proofmultidimensional continuous choicestochastic portfolio returns

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Portfolio theory (91G10)

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Cites work

• Multidimensional endogenous gridpoint method: solving triangular dynamic stochastic optimization problems without root-finding operations
• Optimal Portfolio Choice with Health-Contingent Income Products: The Value of Life Care Annuities
• Strict monotonicity in comparative statics
• The endogenous grid method for discrete-continuous dynamic choice models with (or without) taste shocks
• The method of endogenous gridpoints for solving dynamic stochastic optimization problems
• The method of endogenous gridpoints in theory and practice
• The method of endogenous gridpoints with occasionally binding constraints among endogenous variables

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