Monotonicity of savings function in Endogenous Gridpoint Method with stochastic portfolio returns
| dc.contributor.author | Huang, Tiancheng | en |
| dc.contributor.author | Khemka, Gaurav | en |
| dc.contributor.author | Chong, Wing Fung | en |
| dc.date.accessioned | 2025-06-11T12:34:41Z | |
| dc.date.available | 2025-06-11T12:34:41Z | |
| dc.date.issued | 2024 | en |
| dc.description.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. | en |
| dc.description.sponsorship | The authors acknowledge that no fundingwas received for this research. | en |
| dc.description.status | Peer-reviewed | en |
| dc.format.extent | 4 | en |
| dc.identifier.issn | 0165-1765 | en |
| dc.identifier.other | WOS:001239986800001 | en |
| dc.identifier.other | ORCID:/0000-0002-1854-3746/work/166417700 | en |
| dc.identifier.scopus | 85192328294 | en |
| dc.identifier.uri | http://www.scopus.com/inward/record.url?scp=85192328294&partnerID=8YFLogxK | en |
| dc.identifier.uri | https://hdl.handle.net/1885/733758638 | |
| dc.language.iso | en | en |
| dc.rights | Publisher Copyright: © 2024 The Author(s) | en |
| dc.source | Economics Letters | en |
| dc.subject | Endogenous grid method | en |
| dc.subject | Monotonicity proof | en |
| dc.subject | Multidimensional continuous choice | en |
| dc.subject | Stochastic portfolio returns | en |
| dc.title | Monotonicity of savings function in Endogenous Gridpoint Method with stochastic portfolio returns | en |
| dc.type | Journal article | en |
| dspace.entity.type | Publication | en |
| local.contributor.affiliation | Huang, Tiancheng; Australian National University | en |
| local.contributor.affiliation | Khemka, Gaurav; Research School of Finance, Actuarial Studies and Statistics, Research School of Finance, Actuarial Studies & Statistics, ANU College of Business & Economics, The Australian National University | en |
| local.contributor.affiliation | Chong, Wing Fung; Heriot-Watt University | en |
| local.identifier.citationvolume | 239 | en |
| local.identifier.doi | 10.1016/j.econlet.2024.111740 | en |
| local.identifier.pure | 01f1ae5a-17b4-478c-ac0a-9b3c4d9dfa09 | en |
| local.identifier.url | https://www.scopus.com/pages/publications/85192328294 | en |
| local.type.status | Published | en |