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.
引用
收藏
页码：397 / 405
页数：8
相关论文
共 50 条
  • [21] Voluntary retirement and portfolio selection: Dynamic programming approaches
    Shin, Yong Hyun
    [J]. APPLIED MATHEMATICS LETTERS, 2012, 25 (07) : 1087 - 1093
  • [22] A Polynomial-Affine Approximation for Dynamic Portfolio Choice
    Yichen Zhu
    Marcos Escobar-Anel
    Matt Davison
    [J]. Computational Economics, 2023, 62 : 1177 - 1213
  • [23] THEORY OF DYNAMIC PORTFOLIO CHOICE FOR SURVIVAL UNDER UNCERTAINTY
    ROY, S
    [J]. MATHEMATICAL SOCIAL SCIENCES, 1995, 30 (02) : 171 - 194
  • [24] Dynamic portfolio choice and information trading with recursive utility
    Chen, Xingjiang
    Ruan, Xinfeng
    Zhang, Wenjun
    [J]. ECONOMIC MODELLING, 2021, 98 : 154 - 167
  • [25] DYNAMIC PORTFOLIO CHOICE UNDER ASSET PRICE LOGNORMALITY
    NAIRAY, A
    [J]. COMPUTERS & MATHEMATICS WITH APPLICATIONS, 1992, 24 (8-9) : 157 - 166
  • [26] Dynamic portfolio choice and asset pricing with differential information
    Zhou, CS
    [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1998, 22 (07): : 1027 - 1051
  • [27] Dynamic portfolio choice: a simulation-and-regression approach
    Michel Denault
    Erick Delage
    Jean-Guy Simonato
    [J]. Optimization and Engineering, 2017, 18 : 369 - 406
  • [28] A Polynomial-Affine Approximation for Dynamic Portfolio Choice
    Zhu, Yichen
    Escobar-Anel, Marcos
    Davison, Matt
    [J]. COMPUTATIONAL ECONOMICS, 2023, 62 (03) : 1177 - 1213
  • [29] Dynamic Portfolio Choice with Stochastic Wage and Life Insurance
    Zeng, Xudong
    Wang, Yuling
    Carson, James
    [J]. NORTH AMERICAN ACTUARIAL JOURNAL, 2015, 19 (04) : 256 - 272
  • [30] Dynamic portfolio choice with return predictability and transaction costs
    Ma, Guiyuan
    Siu, Chi Chung
    Zhu, Song-Ping
    [J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2019, 278 (03) : 976 - 988
12345