Finitely Precise Dynamic Programming and Portfolio Choice

被引：0
|
作者：
D. O. Stahl
机构：
[1] University of Texas at Austin,Department of Economics
来源：
Computational Economics | 2015年 / 45卷
关键词：
Choice Function; Infinite Horizon; Portfolio Choice; Wealth Level; Finite Precision;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Using a standard lifetime savings and portfolio choice model with a probabilistic choice function, we demonstrate that the predictions of the infinitely precise model are not robust to the introduction of realistic levels of household imprecision. The predicted deviations from the optimal stock/bond allocation are large and biased towards bonds, which can help explain the equity-premium puzzle.
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页码：397 / 405
页数：8
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