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.
引用
收藏
页码：69 / 77
页数：9
相关论文
共 50 条
  • [41] Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control
    Xu, Zhenda
    ADVANCES IN DIFFERENCE EQUATIONS, 2020, 2020 (01)
  • [42] Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control
    Zhenda Xu
    Advances in Difference Equations, 2020
  • [43] Stochastic recursive optimal control of McKean-Vlasov type: A viscosity solution approach
    Zhang, Liangquan
    JOURNAL OF DIFFERENTIAL EQUATIONS, 2024, 409 : 334 - 394
  • [44] A recursive ensemble organ segmentation (REOS) framework: application in brain radiotherapy
    Chen, Haibin
    Lu, Weiguo
    Chen, Mingli
    Zhou, Linghong
    Timmerman, Robert
    Tu, Dan
    Nedzi, Lucien
    Wardak, Zabi
    Jiang, Steve
    Zhen, Xin
    Gu, Xuejun
    PHYSICS IN MEDICINE AND BIOLOGY, 2019, 64 (02)
  • [45] Optimal investment in defined contribution pension schemes with forward utility preferences
    Ng, Kenneth Tsz Hin
    Chong, Wing Fung
    INSURANCE MATHEMATICS & ECONOMICS, 2024, 114 : 192 - 211
  • [46] Asset Allocation with Crypto: Application of Preferences for Positive Skewness
    Ang, Andrew
    Morris, Tom
    Savi, Raffaele
    JOURNAL OF ALTERNATIVE INVESTMENTS, 2023, 25 (04): : 7 - 28
  • [47] Consumption optimization for recursive utility in a jump-diffusion model
    Antonelli F.
    Mancini C.
    Decisions in Economics and Finance, 2016, 39 (2) : 293 - 310
  • [48] A Tractable Monetary Model under General Preferences
    Wong, Tsz-Nga
    REVIEW OF ECONOMIC STUDIES, 2016, 83 (01) : 402 - 420
  • [49] An optimization model of retiree decisions under recursive utility with housing
    Aydilek A.
    Aydilek H.
    Journal of Economics and Finance, 2020, 44 (2) : 258 - 277
  • [50] On stationary recursive equilibria and nondegenerate state spaces: The Huggett model
    Kam, Timothy
    Lee, Junsang
    JOURNAL OF MATHEMATICAL ECONOMICS, 2014, 50 : 156 - 159
12345