Monotonicity of savings function in Endogenous Gridpoint Method with stochastic portfolio returns
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Huang, Tiancheng
Khemka, Gaurav
Chong, Wing Fung
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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.
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Economics Letters
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