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Strict concavity of the value function for a family of dynamic accumulation models

Author

Listed:
  • Eugenio Bobenrieth

    (Departamento de Economía, Universidad de Concepción)

  • Juan Bobenrieth

    (Departamento de Matemática, Universidad del Bío-Bío, Concepción,)

  • Brian Wright

    (Department of Agricultural and Resource Economics, University of California)

Abstract

We prove the strict concavity of the value function for liquidity-constrained saving or storage models with possibly responsive effort, possibly unbounded marginal utility, and i.i.d. disturbances. Thus we furnish a foundation for empirical estimation of homogeneous Markov processes for consumption,or marginal value.

Suggested Citation

  • Eugenio Bobenrieth & Juan Bobenrieth & Brian Wright, 2008. "Strict concavity of the value function for a family of dynamic accumulation models," Working Papers 02-2008, Departamento de Economía, Universidad de Concepción.
    • Handle: RePEc:cnc:wpaper:02-2008
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    References listed on IDEAS

    as
    1. José A. Scheinkman & Jack Schechtman, 1983. "A Simple Competitive Model with Production and Storage," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 50(3), pages 427-441.
    2. Eugenio S. A. Bobenrieth H. & Juan R. A. Bobenrieth H. & Brian D. Wright, 2002. "A Commodity Price Process with a Unique Continuous Invariant Distribution Having Infinite Mean," Econometrica, Econometric Society, vol. 70(3), pages 1213-1219, May.
    3. Deaton, Angus, 1991. "Saving and Liquidity Constraints," Econometrica, Econometric Society, vol. 59(5), pages 1221-1248, September.
    4. Allen B. Paul, 1970. "The Pricing of Binspace—A Contribution to the Theory of Storage," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 52(1), pages 1-12.
    5. Deaton, Angus & Laroque, Guy, 1996. "Competitive Storage and Commodity Price Dynamics," Journal of Political Economy, University of Chicago Press, vol. 104(5), pages 896-923, October.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Bobenrieth H., Eugenio S.A. & Bobenrieth H., Juan R.A. & Wright, Brian D., 2008. "A foundation for the solution of consumption-saving behavior with a borrowing constraint and unbounded marginal utility," Journal of Economic Dynamics and Control, Elsevier, vol. 32(3), pages 695-708, March.
    2. Juan R. A. Bobenrieth & Eugenio S. A. Bobenrieth & Andrés F. Villegas & Brian D. Wright, 2022. "Estimation of Endogenous Volatility Models with Exponential Trends," Mathematics, MDPI, vol. 10(15), pages 1-27, July.
    3. Zhechun He & Peter Simmons, 2018. "A Life Cycle Model with Housing Tenure, Constrained Mortgage Finance and a Risky Asset under Uncertainty," Discussion Papers 18/18, Department of Economics, University of York.
    4. He, Zhechun & Simmons, Peter, 2022. "The impact of the minimum housing scale constraint on life-cycle risky asset and housing investment," Journal of Housing Economics, Elsevier, vol. 55(C).

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    More about this item

    Keywords

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    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices

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