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

^*Corresponding author for this work

The Australian National University

Research output: Contribution to journal › Article › peer-review

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
Number of pages	4
Journal	Economics Letters
Volume	239
DOIs	https://doi.org/10.1016/j.econlet.2024.111740
Publication status	Published - Jun 2024

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10.1016/j.econlet.2024.111740

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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.",

keywords = "Endogenous grid method, Monotonicity proof, Multidimensional continuous choice, Stochastic portfolio returns",

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

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AU - Huang, Tiancheng

AU - Khemka, Gaurav

AU - Chong, Wing Fung

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Y1 - 2024/6

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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SN - 0165-1765

VL - 239

JO - Economics Letters

JF - Economics Letters

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ER -

Monotonicity of savings function in Endogenous Gridpoint Method with stochastic portfolio returns

Abstract

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