On the concavity of the consumption function
Web1 de mai. de 2024 · If the consumption function in Lemma 1 is concave for arbitrary distribution of (β, R, Y), then u exhibits constant relative risk aversion (CRRA). Conversely, if u is CRRA, then the consumption function of the consumption-saving problem (1) is concave. Proof. Let c, s be the consumption and saving functions. WebWe consider an optimal investment problem to maximize expected utility of the terminal wealth, in an illiquid market with search frictions and transaction costs. In the market model, an investor’s attempt of transaction is successful only at arrival times of a Poisson process, and the investor pays proportional transaction costs when the transaction is successful. …
On the concavity of the consumption function
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WebWe show that if labor income is stochastic, the consumption function will be concave for many commonly used utility functions, and if both labor income and capital income are stochastic, the consumption function is concave for an even broader group of utility … WebConcavity of consumption function remains robust under habit formation. • In general, concavity of consumption function is preserved under a weaker condition. • Under …
Web30 de dez. de 2024 · On the Concavity of the Consumption Function with a Quadratic Utility under Liquidity Constraints (2024) Theoretical Economics Letters ... Web1 de out. de 2012 · Our paper is to consider a finite-horizon model with the time-additive utility and the time varying discount rate. With the assumption of the concavity of …
Web(1996) show the concavity of consumption functions in nite horizon problems, which implies asymptotic linearity. However, under certain regularity assump-tions,Toda(2024) shows that HARA is necessary for the concavity of con-sumption functions, implying that establishing asymptotic linearity based on concavity is possible only in very special ... Web14 de jan. de 2014 · Carroll (1992; 1993) observes that many of the differences can be attributed to the concavity of the consumption function under uncertainty, but he does not describe the conditions under which the consumption function will be concave. We show that if labor income is stochastic, ...
Web7 de set. de 2001 · This paper illustrates the natural role that Hellinger processes can play in solving problems from ¯nance. We propose an extension of the concept of Hellinger process applicable to entropy distance and f-divergence distances, where f is a convex logarithmic function or a convex power function with general order q, 0 6= q < 1. These concepts …
Web10 de mar. de 1995 · On the Concavity of the Consumption Function with a Quadratic Utility under Liquidity Constraints. Shin’ichi Nishiyama, R. Kato. Economics. 2012. This … cyclops searchlightWebDownloadable (with restrictions)! Carroll and Kimball (1996) have shown that, in the class of utility functions that are strictly increasing, strictly concave, and have nonnegative third derivatives, hyperbolic absolute risk aversion (HARA) is sufficient for the concavity of consumption functions in general consumption-saving problems. This paper shows … cyclops scott summersWebI. On the Concavity of the Consumption Function Unfortunately, the theoretical conditions un-der which an economy composed of many in-dividuals will behave exactly as though it contains a single representative agent ("exact aggregation holds") are very stringent. The most problematic requirement is that consumers cyclops scott summers family treeWebCarroll and Kimball (1996) prove that the consumption function is concave if infinitely-lived risk-averse households have a utility function which exhibits Hyperbolic Absolute Risk … cyclopss dumb helmetWebDownloadable! This paper demonstrates the concavity of the consumption function of infinitely living households under liquidity constraints who are not prudent - i.e. with a quadratic utility. The concavity of the consumption function is closely related to the 3-convexity of the value function. cyclops security ugandaWebWith the assumption of the concavity of absolute risk tolerance, the concavity of the consumption function has been proved. This result significantly broadens the … cyclops security b.vWebfunction, but until now there has been no analytical explanation for the concavity of the consumption function that income uncertainty seemed to induce. The idea that the consumption function is concave is an old one, dating at least to the origin of Keynesian macroeconomics: The General Theory of Employment, Interest, and Money emphasized … cyclops scope review