The present paper analyses an optimal consumption and investment problem of a retiree with a constant relative risk aversion (CRRA) who faces parameter uncertainty about the financial market.We solve the optimization problem under partial information by making the market observationally complete...

This is the partial manuscript of a book developing the tools of nonstandard analysis, geared to applications in mathematical economics. It was written over the period 1993-2008. There is no plan to complete and publish it

We investigate two alternative explanations why men may hold more stocks than women. Apart from a gender difference in risk aversion, gender differences in either optimism or in perceived risk of financial markets might cause men to hold more risky assets. Our results show that men tend to be...

This paper provides a concise guide to dynamic optimization with an integral treatment on various optimal control and dynamic programming problems. It presents essential theorems and methods for obtaining and characterizing solutions to these problems. The paper discusses Pontryagin's maximum...

The purpose of this paper is to provide an exact algebraic solution to a fully specified Romer endogenous growth model. The proposed model has three main virtues. First, taking Romer's [1986] model as the starting point, we build a completely and explicitly micro-founded competitive general...

This work aims to provide a representation theorem for consumption in simplex in continuous time by using a weaker axiom of ’Agree with’, a strong axiom of ’Preferential Independence’,[10, 9], and axioms of ’Separability’ and ’Measurability’ on Simplex provided by Qin and...

This paper presents a method of calculating sharp bounds on the average treatment effect using linear programming under identifying assumptions commonly used in the literature. This new method provides a sensitivity analysis of the identifying assumptions and missing data in an application...

The main goal of the paper is to show the application of the projection method as a tool for the analysis of transitional dynamics of endogenous growth models, the analysis which is very often omitted in common literature on the topic. The application of the method is demonstrated on an...

We introduce the market resources method (MRM) for solving dynamic optimization problems. MRM extends Carroll’s (2006) endogenous grid point method (EGM) for problems with more than one control variable using policy function iteration. The MRM algorithm is simple to implement and provides...

In a less widely known contribution, Béla Martos (1966, Hungarian Academy of Sciences) introduced a generalized notion of concavity that is closely related to what is nowadays known as r-concavity in the operations research literature, and that is identical to what is nowadays known as...