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

Tiancheng Huang; Gaurav Khemka; Wing Fung Chong

doi:10.1016/j.econlet.2024.111740

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

Tiancheng Huang
, Gaurav Khemka
, Wing Fung Chong

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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 language	English
Article number	111740
Journal	Economics Letters
Volume	239
Early online date	6 May 2024
DOIs	https://doi.org/10.1016/j.econlet.2024.111740
Publication status	Published - Jun 2024

Keywords

Endogenous grid method
Monotonicity proof
Multidimensional continuous choice
Stochastic portfolio returns

ASJC Scopus subject areas

Economics and Econometrics
Finance

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title = "Monotonicity of Savings Function in Endogenous Gridpoint Method with Stochastic Portfolio Returns",

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.",

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author = "Tiancheng Huang and Gaurav Khemka and Chong, \{Wing Fung\}",

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N2 - 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.

AB - 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.

KW - Endogenous grid method

KW - Monotonicity proof

KW - Multidimensional continuous choice

KW - Stochastic portfolio returns

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U2 - 10.1016/j.econlet.2024.111740

DO - 10.1016/j.econlet.2024.111740

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VL - 239

JO - Economics Letters

JF - Economics Letters

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

Abstract

Keywords

ASJC Scopus subject areas

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