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Rationalizing Policy Functions by Dynamic Optimization

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Author Info

  • Tapan Mitra
  • Gerhard Sorger

Abstract

The authors derive necessary and sufficient conditions for a pair of functions to be the optimal policy function and the optimal value function of a dynamic maximization problem with convex constraints and concave objective functional. It is shown that every Lipschitz continuous function can be the solution of such a problem. If the maintained assumptions include free disposal and monotonicity, then the authors obtain a complete characterization of all optimal policy and optimal value functions. This is the case, e.g., in the standard aggregative optimal growth model.

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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 67 (1999)
Issue (Month): 2 (March)
Pages: 375-392

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Handle: RePEc:ecm:emetrp:v:67:y:1999:i:2:p:375-392

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Cited by:
  1. Kazuo Nishimura & Alain Venditti & Makoto Yano, 2014. "Destabilization effect of international trade in a perfect foresight dynamic general equilibrium model," Economic Theory, Springer, vol. 55(2), pages 357-392, February.
  2. Bosi, Stefano & Magris, Francesco & Venditti, Alain, 2005. "Competitive equilibrium cycles with endogenous labor," Journal of Mathematical Economics, Elsevier, vol. 41(3), pages 325-349, April.
  3. Gerhard Sorger, 2008. "some notes on discount factor restrictions for dynamic optimization problems," Vienna Economics Papers 0805, University of Vienna, Department of Economics.
  4. Hosoya, Yuhki, 2014. "Identification and testable implications of the Ramsey–Cass–Koopmans model," Journal of Mathematical Economics, Elsevier, vol. 50(C), pages 63-68.
  5. Guerrero-Luchtenberg, C.L., 2000. "A uniform neighborhood turnpike theorem and applications," Journal of Mathematical Economics, Elsevier, vol. 34(3), pages 329-357, November.
  6. Klaus Reiner Schenk-Hoppé, . "Random Dynamical Systems in Economics," IEW - Working Papers 067, Institute for Empirical Research in Economics - University of Zurich.
  7. Sorger, Gerhard, 2004. "Consistent planning under quasi-geometric discounting," Journal of Economic Theory, Elsevier, vol. 118(1), pages 118-129, September.
  8. Ghiglino, Christian & Venditti, Alain, 2007. "Wealth inequality, preference heterogeneity and macroeconomic volatility in two-sector economies," Journal of Economic Theory, Elsevier, vol. 135(1), pages 414-441, July.

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