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Stochastic Optimal Growth Model with Ris...

Bäuerle, Nicole...

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Stochastic Optimal Growth Model with Risk Sensitive Preferences by Bäuerle, Nicole ( Author )

Content Provider	Lemonjar Open Access
Publisher	N.A
Publication Date	18-09-2015
Summary	This paper studies a one-sector optimal growth model with i.i.d. productivity shocks that are allowed to be unbounded. The utility function is assumed to be non-negative and unbounded from above. The novel feature in our framework is that the agent has risk sensitive preferences in the sense of Hansen and Sargent (1995). Under mild assumptions imposed on the productivity and utility functions we prove that the maximal discounted non-expected utility in the infinite time horizon satisfies the optimality equation and the agent possesses a stationary optimal policy. A new point used in our analysis is an inequality for the so-called associated random variables. We also establish the Euler equation that incorporates the solution to the optimality equation.
ISBN	-
Item Type	Article
File Type	pdf
File Size	36.88 KB
Language	English
Subjects	-
Unlimited	MYR 0.00
Total read	-
URL	https://arxiv.org/abs/1509.05638

Citation

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AMA 11th EditionReferences

Bäuerle, Nicole. Stochastic Optimal Growth Model with Risk Sensitive Preferences. N.A. September 18, 2015. Accessed August 17, 2025. https://online.provdatabase.com/cite/11348

APA 7th EditionReferences

Bäuerle, Nicole. (2015). Stochastic Optimal Growth Model with Risk Sensitive Preferences. N.A. https://online.provdatabase.com/cite/11348

Chicago 17th EditionReferences

Bäuerle, Nicole. Stochastic Optimal Growth Model with Risk Sensitive Preferences. N.A. 2015. https://online.provdatabase.com/cite/11348

HarvardReferences

Bäuerle, Nicole. (2015). Stochastic Optimal Growth Model with Risk Sensitive Preferences. [Online]. N.A. Available from: https://online.provdatabase.com/cite/11348. (Accessed 17 August 2025).

Harvard AustraliaReferences

Bäuerle, Nicole, 2015, Stochastic Optimal Growth Model with Risk Sensitive Preferences, N.A, viewed 17 August 2025, <https://online.provdatabase.com/cite/11348>

MLA 9th EditionWorks Cited

Bäuerle, Nicole. Stochastic Optimal Growth Model with Risk Sensitive Preferences. N.A, 2015. PROV Database, https://online.provdatabase.com/cite/11348.

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