On Application of Recursive Preferences in Optimal Growth Model

被引：0
|
作者：
Szpara, Agnieszka [1 ]
机构：
[1] Univ Appl Sci Nysa, Inst Finance, Nysa, Poland
来源：
INFORMATION SYSTEMS ARCHITECTURE AND TECHNOLOGY, PT III | 2018年 / 657卷
关键词：
Risk; Recursive utility; Optimal consumption policy;
D O I：
10.1007/978-3-319-67223-6_7
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper deals with the optimal growth model in the finite time horizon and the Epstein-Zin-Weil aggregator function. We formulate the dynamic recursive optimality equation, find the value function and the optimal policy of a consumer. Our results are illustrated by examples.
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页码：69 / 77
页数：9
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