A nonlinear programming formulation is introduced to solve infinite horizon dynamic programming problems. This extends the linear approach to dynamic programming by using ideas from approximation theory to avoid inefficient discretization. Our numerical results show that this nonlinear...

We build a life-cycle model with earnings risk, liquidity constraints, and portfolio choice over tax-deferred and taxable assets to evaluate how household consumption changes in response to shocks to transitory anticipated income, such as the 2001 income tax rebate. Households optimally invest...

We develop a model to assess the evolution of the Italian corporate sector's financial vulnerability. We use micro data to take into account the heterogeneity of firms and their demography and we integrate them with macroeconomic forecasts in order to estimate EBITDA, interest expense and...