Closed-Form Solutions to Dynamic Stochastic Choice Problems

Roger Farmer

No 268241, Economic Research Papers from University of Warwick - Department of Economics

Abstract: This paper introduces a parametric class of Kreps Porteus preferences that yield closed form solutions to dynamic stochastic choice problems. These preferences are applied to a simple stochastic macroeconomic model which relaxes the representative agent assumption. This example is designed to illustrate one of the many possible ways in which these preferences may be useful to both theoretical and applied researchers.

Keywords: Agricultural and Food Policy; Financial Economics (search for similar items in EconPapers)
Pages: 23
Date: 1987-05-05
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Persistent link: https://EconPapers.repec.org/RePEc:ags:uwarer:268241

DOI: 10.22004/ag.econ.268241

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