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

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2024-06

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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.

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Publisher Copyright: © 2024 The Author(s)

Keywords

Endogenous grid method, Monotonicity proof, Multidimensional continuous choice, Stochastic portfolio returns, Finance, Economics and Econometrics

Citation

Huang, T, Khemka, G & Chong, W F 2024, 'Monotonicity of savings function in Endogenous Gridpoint Method with stochastic portfolio returns', Economics Letters, vol. 239, 111740. https://doi.org/10.1016/j.econlet.2024.111740

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/dk/atira/pure/researchoutput/researchoutputtypes/contributiontojournal/article

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Economics Letters

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