Notes on consumption theory: deterministic and stochastic dynamic models
Gespeichert in:
| Hauptverfasser: | , , |
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cham
Springer
[2024]
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| Schriftenreihe: | Classroom Companion: Economics
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xvi, 145 Seiten Illustrationen, Diagramme |
| ISBN: | 9783031549854 |
Internformat
MARC
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Datensatz im Suchindex
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Contents 1 Consumption and Certainty . 1.1 Introduction . 1.2 A Two-Period Model . 1.2.1 Optimal Allocation . 1.2.2 Changes in the Interest Rate . 1.3 Consumption and Investment . 1.3.1 Technology Constraints. 1.3.2 No Capital Markets . 1.3.3 Capital Markets . 1.4 Imperfect Capital Markets . 1.4.1 Credit Rationing . 1.5 Т-Period Generalization with Discrete Time . 1.5.1 EIS and Risk Aversion . 1.6 A Formal Model . 1.6.1 On the Transversality Condition . 1.7 Consumption in Continuous Time . 1.7.1 The Consumption Function . 1.7.2 The Saving Function
. Appendix 1 . References . 1 1 2 3 7 8 9 10 11 13 13 16 17 18 20 21 22 24 25 27 2 Consumption and Uncertainty in Discrete Time . 2.1 Introduction . 2.2 Uncertain Income . 2.2.1 DynamicProgramming . 2.2.2 The Case of Quadratic Utility . 2.2.3 The Certainty Equivalence Model . 2.3 Permanent Income and Shocks . 2.4 Uncertainty and Credit Rationing . 2.5 Precautionary Saving . 2.5.1 Risk Aversion and Precautionary Saving . 2.5.2 Euler Equation and Precautionary Saving . 29 29 30 30 32 33 34 35 37 38 42 xi
xii Contents 2.6 Uncertain Returns: The Case of a Risky Asset . 2.6.1 Euler Equation . 2.7 Uncertain Returns with n-Risky Assets . Appendix 1 . Appendix 2 . Appendix 3 . References . 44 44 46 47 49 51 55 3 Consumption and Portfolio Rules. 3.1 Introduction . 3.2 Consumption and Portfolio Rules . 3.3 The Consumption Capital Asset Pricing Model. 3.3.1 The Security Market Line . 3.4 SML and Efficient Markets . 3.4.1 The Theoretical Foundations of the EMH . 3.5 Efficiency and Prices . 3.6 The Random Walk Theory of Prices . 3.6.1 The
Martingale. 3.6.2 Random Walk . 3.7 Empirical Estimations . 3.7.1 The Constant Relative Risk Aversion Function . 3.7.2 The Risky Asset . 3.7.3 The Risk-Free Asset. 3.7.4 Equity Premium Puzzle . 3.7.5 Risk-Free Rate Puzzle . 3.8 Alternative Hypotheses on Preferences . 3.8.1 Generalized Expected Utility . 3.8.2 Consumption Habits. 3.8.3 Behavioral Hypotheses . 3.8.4 DRA and Portfolio Choice . References . 57 57 58 60 61 63 64 66 68 68 69 71 71 72 73 73 74 75 76 78 80 81 83 4 Consumption and Economic Growth . 4.1 Introduction . 4.1.1 Consumers . 4.1.2 Firms
. 4.1.3 Ramsey Problem: the Centralized Economy . 4.1.4 The Modified Golden Rule . 4.1.5 The Phase Diagram . 4.1.6 The Decentralized Economy . 4.2 Technological Progress . 4.2.1 A Dynamic Production Function. 4.2.2 Ramsey Model with Technological Progress . 4.2.3 Endogenous Technological Progress . 87 87 88 88 90 92 92 97 99 99 100 102
Contents 5 xiii 4.3 Sustainable Growth . 4.3.1 The Hotelling’s Rule . 4.3.2 Consumption, Production, and Pollution . 4.3.3 Sustainable Consumption . Appendix 1 . References . 105 105 107 108 Ill 115 Consumption and Uncertainty in Continuous Time. 5.1 Introduction . 5.2 Wiener Process or Brownian Motion . 5.2.1 Generalized Wiener Process . 5.2.2 Generalized Brownian Motion or Ito Process . 5.2.3 Non-differentiability of the Wiener Process . 5.3 Ito’s Lemma . 5.4 Stochastic Dynamic Programming . 5.4.1 Absolute Brownian Motion . 5.4.2 Geometric Brownian Motion . 5.5 Stochastic Optimal Control . 5.5.1 Consumption and Portfolio Rules
. 5.5.2 Consumption and Nonrenewable Resources . 5.5.3 Consumption of Durables . 5.5.4 Consumption and Growth . 5.5.5 Regulated Brownian Motion . 5.5.6 Stochastic Income and Constrained Consumption . References . 117 117 118 120 120 122 123 126 126 129 131 132 134 135 137 140 140 144 |
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| isbn | 9783031549854 |
| language | English |
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| physical | xvi, 145 Seiten Illustrationen, Diagramme |
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| spelling | Travaglini, Giuseppe Verfasser (DE-588)171639650 aut Notes on consumption theory deterministic and stochastic dynamic models Giuseppe Travaglini, Giorgio Calcagnini, Alessandro Bellocchi Cham Springer [2024] xvi, 145 Seiten Illustrationen, Diagramme txt rdacontent n rdamedia nc rdacarrier Classroom Companion: Economics Microeconomics Macroeconomics and Monetary Economics Quantitative Economics Mathematics in Business, Economics and Finance Macroeconomics Econometrics Social sciences / Mathematics Calcagnini, Giorgio Verfasser (DE-588)170705803 aut Bellocchi, Alessandro Verfasser (DE-588)1338316176 aut Erscheint auch als Online-Ausgabe 978-3-031-54986-1 Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=035154271&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Travaglini, Giuseppe Calcagnini, Giorgio Bellocchi, Alessandro Notes on consumption theory deterministic and stochastic dynamic models Microeconomics Macroeconomics and Monetary Economics Quantitative Economics Mathematics in Business, Economics and Finance Macroeconomics Econometrics Social sciences / Mathematics |
| title | Notes on consumption theory deterministic and stochastic dynamic models |
| title_auth | Notes on consumption theory deterministic and stochastic dynamic models |
| title_exact_search | Notes on consumption theory deterministic and stochastic dynamic models |
| title_full | Notes on consumption theory deterministic and stochastic dynamic models Giuseppe Travaglini, Giorgio Calcagnini, Alessandro Bellocchi |
| title_fullStr | Notes on consumption theory deterministic and stochastic dynamic models Giuseppe Travaglini, Giorgio Calcagnini, Alessandro Bellocchi |
| title_full_unstemmed | Notes on consumption theory deterministic and stochastic dynamic models Giuseppe Travaglini, Giorgio Calcagnini, Alessandro Bellocchi |
| title_short | Notes on consumption theory |
| title_sort | notes on consumption theory deterministic and stochastic dynamic models |
| title_sub | deterministic and stochastic dynamic models |
| topic | Microeconomics Macroeconomics and Monetary Economics Quantitative Economics Mathematics in Business, Economics and Finance Macroeconomics Econometrics Social sciences / Mathematics |
| topic_facet | Microeconomics Macroeconomics and Monetary Economics Quantitative Economics Mathematics in Business, Economics and Finance Macroeconomics Econometrics Social sciences / Mathematics |
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