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Stochastic convexity in dynamic programming

Atakan, Alp E. - In: Economic Theory 22 (2003) 2, pp. 447-455

This paper explores sufficient conditions for a continuous stationary Markov optimal policy and a concave value function in stochastic dynamic programming problems. Also, the paper addresses conditions needed for the differentiability of the value function. The paper uses conditions such as...

Persistent link: https://www.econbiz.de/10005753358

Allais-anonymity as an alternative to the discounted-sum criterion in the calculus of optimal growth I: Consensual optimality

Mabrouk, Mohamed - Volkswirtschaftliche Fakultät, … - 2006

technical change, without resorting to the discounted-sum criterion. The solution suggested is to consider an optimality … criterion expressing an Allais-anonymous intergenerational consensus. The partial characterization of consensual optimality was … is a necessary condition for consensual optimality. The necessary study of the Pareto-optimality of the consensual …

Persistent link: https://www.econbiz.de/10005789826

THE MODIGLIANI-MILLER THEOREM IN A DYNAMIC ECONOMY

TAKEKUMA, SHIN-ICHI - Graduate School of Economics, Hitotsubashi University - 2010

A dynamic economy with markets of equities and bonds is considered. The rational expectations equilibrium is defined in an asset pricing model and a condition under which the Modigliani-Miller theorem holds is shown. In an aggregate model the existence of a rational expectations equilibrium is...

Persistent link: https://www.econbiz.de/10008458969

Intergenerational Equity and the Forest Management Problem

Mitra, Tapan - Center for Analytic Economics, Department of Economics - 2004

The paper re-examines the foundations of representation of intertemporal preferences that satisfy intergenerational equity, and provides an axiomatic characterization of those social welfare relations, which are representable by the utilitarian ordering, in ranking consumption sequences which...

Persistent link: https://www.econbiz.de/10005553668

Intergenerational anonymity as an alternative to the discounted- sum criterion in the calculus of optimal growth II: Pareto optimality and some economic interpretations

Mabrouk, Mohamed - EconWPA - 2005

This paper studies the Pareto-optimality of the consensual optimum established in 'Intergenerational anonymity as an … alternative to the discounted-sum criterion I: consensual optimality'. For that, a Pareto- optimality criterion is set up by the …. Through an example, it is then shown that the golden rule must be checked to achieve anonymous optimality. The introduction of …

Persistent link: https://www.econbiz.de/10005556724

Optimal Accumulation in a Small Open Economy with Technological Uncertainty

Datta, Manjira - Department of Economics, W.P. Carey School of Business

optimality needs to be modified. From the optimality criterion, we derive a pair of conditions, which does not require …

Persistent link: https://www.econbiz.de/10005345961

Optimal accumulation in a small open economy with technological uncertainty

Datta, Manjira - In: Economic Theory 13 (1999) 1, pp. 207-219

optimality needs to be modified. From the optimality criterion, we derive a pair of conditions, which does not require …

Persistent link: https://www.econbiz.de/10005370739

Optimal Growth with Variable Rate of Time Preference

Das, Mausumi - Centre for Development Economics, Delhi School of Economics - 1999

In this paper we develop a continuous time infinite horizon optimal growth model with identical households, where the households' rate of time preference is endogenously determined. However, unlike the existing literature, we assume here that the instantaneous discount rate of the representative...

Persistent link: https://www.econbiz.de/10005190318

Endogenous Discounting via Wealth, Twin-Peaks and the Role of Technology

Ingmar, SCHUMACHER - Institut de Recherche Économique et Sociale (IRES), … - 2006

The articles gives new answers to the following questions : One, what can be potential source of the twin-peaks of economi growth ? Two, why were some of the countries that were believed to belong to the group of low steady state countries (like Taiwan, South Korea, Japan, etc) able to reach a...

Persistent link: https://www.econbiz.de/10004984719

On optimality, endogeneous discounting and wealth accumulation

Ingmar, SCHUMACHER - Institut de Recherche Économique et Sociale (IRES), … - 2006

concavity of the Hamiltonian requires negative felicity for optimality. This dilemna also holds for the endogenizations of … Obstfeld (1990) and followers. We solve the model with positive felicity and resolve when optimality is possible. We discuss …

Persistent link: https://www.econbiz.de/10004984772