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

TitleMonotonicity of savings function in Endogenous Gridpoint Method with stochastic portfolio returns
Authors
Huang, TianchengKhemka, GauravChong, Wing Fung
KeywordsEndogenous grid method
Monotonicity proof
Multidimensional continuous choice
Stochastic portfolio returns
Issue Date2024
Citation
Economics Letters, 2024, v. 239, article no. 111740 How to Cite?
DOI: http://dx.doi.org/10.1016/j.econlet.2024.111740
AbstractThis 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.
Persistent Identifierhttp://hdl.handle.net/10722/363625
ISSN
0165-1765
2023 Impact Factor: 2.1
2023 SCImago Journal Rankings: 0.729

 

DC FieldValueLanguage
dc.contributor.authorHuang, Tiancheng-
dc.contributor.authorKhemka, Gaurav-
dc.contributor.authorChong, Wing Fung-
dc.date.accessioned2025-10-10T07:48:13Z-
dc.date.available2025-10-10T07:48:13Z-
dc.date.issued2024-
dc.identifier.citationEconomics Letters, 2024, v. 239, article no. 111740-
dc.identifier.issn0165-1765-
dc.identifier.urihttp://hdl.handle.net/10722/363625-
dc.description.abstractThis 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.-
dc.languageeng-
dc.relation.ispartofEconomics Letters-
dc.subjectEndogenous grid method-
dc.subjectMonotonicity proof-
dc.subjectMultidimensional continuous choice-
dc.subjectStochastic portfolio returns-
dc.titleMonotonicity of savings function in Endogenous Gridpoint Method with stochastic portfolio returns-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.econlet.2024.111740-
dc.identifier.scopuseid_2-s2.0-85192328294-
dc.identifier.volume239-
dc.identifier.spagearticle no. 111740-
dc.identifier.epagearticle no. 111740-

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