Stochastic Depreciation and Optimal Consumption‐Investment Decisions

Autor:	Huw Rhys, Mark Tippet
Rok vydání:	2002
Předmět:	Consumption (economics) Infinite number Depreciation (economics) Outcome (game theory) symbols.namesake Investment decisions Capital accumulation Accounting Capital (economics) Econometrics Economics symbols Business Management and Accounting (miscellaneous) Gaussian process Finance
Zdroj:	Journal of Business Finance & Accounting. 29:273-286
ISSN:	1468-5957 0306-686X
Popis:	Capital accumulation is viewed as the net outcome of accumulation and wasting. Accumulation is modelled by a Gaussian process whilst wasting is generated by a continuous time and continuous state-space pseudo-Poisson process. These assumptions imply that an economic agent’s preferences, consumption, capital accumulation and wastage are governed by a form of Hamilton-Jacobi-Bellman equation containing an infinite number of terms. We demonstrate the optimisation procedures applicable to consumption and the expected wastage of capital and in the process show that isoelastic preferences are consistent with the model.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::62de54dfde7d655b30992fb040912885 https://doi.org/10.1111/1468-5957.00432 Zobrazit plný text záznamu Plný text ve formátu PDF