Download or read book Optimal Consumption with Stochastic Variations written by John T. Lenga and published by . This book was released on 1994 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Consumption and Savings with Stochastic Income written by Chong Wang and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop an analytically tractable consumption-savings model for a liquidity-constrained agent who faces both permanent and transitory income shocks. We find that risk aversion and intertemporal substitution have very different effects on both consumption and the steady-state savings target. Moderate changes in risk aversion have large effects on consumption and buffer-stock savings. With permanent shocks, it takes many years to reach the steady-state savings target. We also find that large discrete income shocks (jumps) occurring at low frequencies can be very costly. Unlike conventional wisdom, transitory shocks can generate very large precautionary savings demand, especially for low transitory income states.
Download or read book Optimal Consumption with Stochastic Income written by Stephen Paul Zeldes and published by . This book was released on 1984 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Calculus of Variations written by Yasushi Ishikawa and published by Walter de Gruyter GmbH & Co KG. This book was released on 2023-07-24 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a concise introduction to the stochastic calculus of variations for processes with jumps. The author provides many results on this topic in a self-contained way for e.g., stochastic differential equations (SDEs) with jumps. The book also contains some applications of the stochastic calculus for processes with jumps to the control theory, mathematical finance and so. This third and entirely revised edition of the work is updated to reflect the latest developments in the theory and some applications with graphics.
Download or read book Looking for the News in the Noise Additional Stochastic Implications of Optimal Consumption Choice written by Laurence J. Kotlikoff and published by . This book was released on 1984 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: In neoclassical models of consumption choice under earnings uncertainty changes in consumption programs from one period to the next are determined by new information received about future earnings over the period. This proposition suggests testing the neoclassical model by ascertaining whether new earnings information explains consumption choice through time. It also suggests that actual consumption choices imbed extractable information about the extent and time resolution of earnings uncertainty. This paper derives a fairly general theoretical relationship between properly defined innnovations in consumption (noise) and revisions in expectations of lifetime earnings (news). It also clarifies the relationship between testing for the theoretical determinants of consumption and standard Euler tests that focus on theoretical nondeterminants of consumption. The chief prediction of the paper's theoretical results, that noise exactly equals news, is tested using aggregate time series data on consumption and earnings. We find that new earnings information explains only a very small fraction of the variance of aggregate consumption innovations. On the other hand, the extent of suboptimal consumption choice appears to be of little economic significance.
Download or read book A Stochastic Optimal Control Formulation of the Consumption debt Decision written by and published by Bib. Orton IICA / CATIE. This book was released on with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Consumption with Stochastic Income written by Stephen P. Zeldes and published by . This book was released on 1986 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Consumption with a Stochastic Income Stream written by Bruce L. Miller and published by . This book was released on 1972 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper investigates the optimal consumption strategies of an individual facing a stochastic labor and deterministic capital income stream over an infinite horizon. The main result of the paper is a theorem showing that the optimal amount to consume in the stochastic income case is always less than the optimal amount to consume in the deterministic case where the stochastic income received each period is replaced by its mean. (Author).
Download or read book Optimal Consumption and Investment Strategies with Stochastic Interest Rates written by Claus Munk and published by . This book was released on 2004 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We characterize the solution to the consumption and investment problem of a time-additive power utility investor in a continuous-time dynamically complete market with stochastic changes in the opportunity set. It is demonstrated that under stochastic interest rates the investor optimally hedges against changes in the term structure of interest rates by investing in a coupon bond, or portfolio of bonds, with a payment schedule that matches the forward-expected (i.e. certainty equivalent) consumption pattern. This is of conceptual importance since the hedge portfolio only depends on the specic term structure dynamics through the consequences for the optimal consumption pattern. We consider two explicit examples where the term structure dynamics are given by the Vasicek model and a three factor non-Markovian Heath-Jarrow-Morton model.
Download or read book Optimal Consumption with Stochastic Prices in Continous Time written by Tomas Bjørk and published by . This book was released on 1987 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Notes on Consumption Theory written by Giuseppe Travaglini and published by Springer Nature. This book was released on with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Economic Dynamics written by Bjarne S. Jensen and published by Copenhagen Business School Press DK. This book was released on 2007 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyses stochastic dynamic systems across a broad spectrum in economics and finance. The major unifying theme is the coherent and rigorous treatment of uncertainty and its implications for describing stochastic processes by the stochastic differential equations of the fundamental models in various fields. Pertinent subjects are interrelated, juxtaposed, and examined for consistency in theoretical and empirical contexts. The volume consists of three parts: Developments in Stochastic Dynamics; Stochastic Dynamics in Basic Economic Growth Models; Intertemporal Optimisation in Consumption, Finance, and Growth. Key topics include: fractional Brownian motion in finance; moment evolution of Gaussian and geometric Wiener diffusions; stochastic kinematics and stochastic mechanics; stochastic growth in continuous time; time delays and Hopf bifurcation; consumption and investment strategies; differential systems in finance and life insurance; uncertainty of technological innovations; investment and employment cycles; stochastic control theory; and risk aversion. The works collected in this book serves to bridge the "old" deterministic dynamics and the "new" stochastic dynamics. The collection is important for scholars and advanced graduate students of economics, statistics, and applied mathematics.
Download or read book Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets written by Luis M. Viceira and published by . This book was released on 1999 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using the Duffie-Epstein (1992) formulation of recursive utility in continuous time, it shows that the optimal portfolio demand for stocks under stochastic volatility varies strongly with the investor's coefficient of relative risk aversion, but only slightly with her elasticity of intertemporal substitution; by contrast, optimal consumption relative to wealth depends on both preference parameters. This paper also shows that stochastic variation in volatility produces an optimal intertemporal hedging demand for stocks which is negative when changes in volatility are instantaneously negatively correlated with excess stock returns and investors have coefficients of relative risk aversion larger than one. The absolute size of this demand increases with the size of this correlation, and also with the persistence of shocks to volatility. An application to the US stock market shows that empirically this correlation is negative and large, which implies a negative hedging demand for stocks. This application also shows that only low frequency shocks to volatility exhibit enough persistence to generate sizable hedging demands by long-term, risk averse investors. A comparative statics exercise shows that the size of hedging demands is considerably more sensitive to changes in persistence than to changes in correlation.
Download or read book Optimal Consumption and Savings with Stochastic Income and Recursive Utility written by Chong Wang and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a tractable incomplete-markets model with an earnings process Y subject to permanent shocks and borrowing constraints. Financial frictions cause the marginal (certainty equivalent) value of wealth W to be greater than unity and decrease with liquidity w = W/Y . Additionally, financial frictions cause consumption to decrease with this endogenously determined marginal value of liquidity. Risk aversion and the elasticity of inter-temporal substitution play very different roles on consumption and the dispersion of w. Permanent earnings shocks, especially large discrete stochastic jumps, make consumption smoothing quantitatively difficult to achieve. Borrowing constraints and permanent discrete jump shocks can generate empirically plausible values for marginal propensities to consume in the range of 0.2 to 0.6.
Download or read book Optimal consumption with stochastic prices in continuous time written by Tomas Björk and published by . This book was released on 1987 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Economics written by Gerhard Tintner and published by Elsevier. This book was released on 2014-05-10 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Economics: Stochastic Processes, Control, and Programming presents some aspects of economics from a stochastic or probabilistic point of view. The application of stochastic processes to the theory of economic development, stochastic control theory, and various aspects of stochastic programming is discussed. Comprised of four chapters, this book begins with a short survey of the stochastic view in economics, followed by a discussion on discrete and continuous stochastic models of economic development. The next chapter focuses on methods of stochastic control and their application to dynamic economic models, with emphasis on those aspects connected especially with the theory of quantitative economic policy. Some basic operational problems of applying stochastic control, particularly in economic systems and organizations for problems such as dynamic resource allocation, growth planning, and economic coordination are considered. The last chapter is devoted to stochastic programming, paying particular attention to the decision rule theory of operations research under the chance-constrained model and a method of incorporating reliability measures into a systems reliability model. This book will be of interest to economists, statisticians, applied mathematicians, operations researchers, and systems engineers.
Download or read book Optimal Consumption and Equilibrium Prices with Portfolio Cone Constraints and Stochastic Labor Income written by Domenico Cuoco and published by . This book was released on 1995 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
