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

Tiancheng Huang, Gaurav Khemka and Wing Fung Chong

Economics Letters, 2024, vol. 239, issue C

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.

Keywords: Endogenous grid method; Stochastic portfolio returns; Monotonicity proof; Multidimensional continuous choice (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:239:y:2024:i:c:s0165176524002234

DOI: 10.1016/j.econlet.2024.111740

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