Monotonicity of Savings Function in Endogenous Gridpoint Method with Stochastic Portfolio Returns

Tiancheng Huang, Gaurav Khemka, Wing Fung Chong

Research output: Contribution to journalArticlepeer-review

26 Downloads (Pure)

Abstract

This paper provides a comprehensive proof of monotonicity of the savings function in the application of the Method of Endogenous Gridpoints (EGM) to problems with stochastic portfolio returns. The proof contributes to the completeness of solutions by providing the sufficient condition for the application of EGM to problems with stochastic portfolio returns as seen in the literature.
Original languageEnglish
Article number111740
JournalEconomics Letters
Volume239
Early online date6 May 2024
DOIs
Publication statusPublished - Jun 2024

Keywords

  • Endogenous grid method
  • Monotonicity proof
  • Multidimensional continuous choice
  • Stochastic portfolio returns

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Fingerprint

Dive into the research topics of 'Monotonicity of Savings Function in Endogenous Gridpoint Method with Stochastic Portfolio Returns'. Together they form a unique fingerprint.

Cite this