A two-period model with portfolio choice: Understanding results from different solution methods

Description

Using a stylized two-period model we compare portfolio solutions from two local solution approaches -
the approach of Judd and Guu (2001) and the approach of Devereux and Sutherland (2010, 2011) - with
the true nonlinear portfolio solution.

Links & Downloads

1. http://epub.wu.ac.at/4395/1/1%2Ds2.0%2DS0165176514002055%2Dmain.pdf
2. http://dx.doi.org/10.1016/j.econlet.2014.05.028

Tags

JEL E44, F41, G11, G15

Additional Fields

Identifer	oai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:4395
Date	08 1900
Creators	Rabitsch, Katrin, Stepanchuk, Serhiy
Publisher	Elsevier
Source Sets	Wirtschaftsuniversität Wien
Language	English
Detected Language	English
Type	Article, PeerReviewed
Format	application/pdf
Rights	Creative Commons: Attribution-Noncommercial-No Derivative Works 3.0 Austria
Relation	http://dx.doi.org/10.1016/j.econlet.2014.05.028, http://www.elsevier.com/, http://epub.wu.ac.at/4395/