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Monotonicity of savings function in Endogenous Gridpoint Method with stochastic portfolio returns

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  • Huang, Tiancheng
  • Khemka, Gaurav
  • Chong, Wing Fung

Abstract

This paper provides a comprehensive proof of monotonicity of the savings function in the application of the Method of Endogenous Gridpoints (EGM) to problems with stochastic portfolio returns. The proof contributes to the completeness of solutions by providing the sufficient condition for the application of EGM to problems with stochastic portfolio returns as seen in the literature.

Suggested Citation

  • Huang, Tiancheng & Khemka, Gaurav & Chong, Wing Fung, 2024. "Monotonicity of savings function in Endogenous Gridpoint Method with stochastic portfolio returns," Economics Letters, Elsevier, vol. 239(C).
    • Handle: RePEc:eee:ecolet:v:239:y:2024:i:c:s0165176524002234
    DOI: 10.1016/j.econlet.2024.111740
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    References listed on IDEAS

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