Monotonicity of Savings Function in Endogenous Gridpoint Method with Stochastic Portfolio Returns
12 Pages Posted: 12 Jan 2024
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, Stochastic portfolio returns, Monotonicity proof, Multidimensional continuous choice
Suggested Citation: Suggested Citation
Khemka, Gaurav and Huang, Tiancheng and Chong, Wing Fung, Monotonicity of Savings Function in Endogenous Gridpoint Method with Stochastic Portfolio Returns. Available at SSRN: https://ssrn.com/abstract=4692863 or http://dx.doi.org/10.2139/ssrn.4692863
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