Optimal Saving Under Poisson Uncertainty
Posted: 3 Sep 2005
Abstract
This paper studies optimal saving and investment behaviour of a household that can either invest in a riskless or a risky saving technology when risk results from a Poisson process. The focus is on behaviour of households in a general equilibrium setup. Poisson processes are introduced since they allow us to understand and model endogenous cycles jointly with long-run growth. It turns out that a very simple, intuitive and tractable characterization of equilibrium is possible.
Keywords: Optimal saving, Poisson uncertainty, continuous time
JEL Classification: C61, O33, O41
Suggested Citation: Suggested Citation
Wälde, Klaus, Optimal Saving Under Poisson Uncertainty. Journal of Economic Theory, Vol. 87, pp. 194-217, 1999, Available at SSRN: https://ssrn.com/abstract=793244
CESifo (Center for Economic Studies and Ifo Institute)
Poschinger Str. 5
Munich, DE-81679
Germany
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