Monotonicity of Savings Function in Endogenous Gridpoint Method with Stochastic Portfolio Returns

Khemka, Gaurav; Huang, Tiancheng; Chong, Wing Fung

doi:10.2139/ssrn.4692863

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Monotonicity of Savings Function in Endogenous Gridpoint Method with Stochastic Portfolio Returns

12 Pages Posted: 12 Jan 2024

See all articles by Gaurav Khemka

Wing Fung Chong

Heriot-Watt University - Department of Actuarial Mathematics and Statistics

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