Strict concavity of the value function for a family of dynamic accumulation models

B.E. Journal of Theoretical Economics

Volumn 12, Issue 1, 2012, Pages

  Bobenrieth, Eugenio S A ^a   Bobenrieth, Juan R A ^b   Wright, Brian D ^c  

^a PONTIFICIA UNIVERSIDAD CATÓLICA DE CHILE   (Chile)

^b UNIVERSIDAD DEL BÍO BÍO   (Chile)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

consumption; savings; strict concavity; value function

Indexed keywords

EID: 84888198249     PISSN: None     EISSN: 19351704     Source Type: Journal    
DOI: 10.1515/1935-1704.1838     Document Type: Article

References (15)

1. Benveniste, L. M., and J. A. Scheinkman (1979): "On the Differentiability of the Value Function in Dynamic Models of Economics," Econometrica, 47, 727-732.
2. Bobenrieth, E. S. A., J. R. A. Bobenrieth, and B. D. Wright (2002): "A Commodity Price Process with a Unique Continuous Invariant Distribution having Infinite Mean," Econometrica, 70, 1213-1219.
3. Bobenrieth, E. S. A., J. R. A. Bobenrieth, and B. D. Wright (2011): "The Behavior of a Martingale Discounted Commodity Price Process at Far Horizons," Working paper, Pontificia Universidad Cat?olica and Finance UC, Universidad del Bo-Bo, University of California at Berkeley.
4. Deaton, A. (1991): "Saving and Liquidity Constraints," Econometrica, 59, 1221-1248.
5. Deaton, A., and G. Laroque (1992): "On the Behaviour of Commodity Prices," Review of Economic Studies, 59, 1-23.
6. Deaton, A., and G. Laroque (1995): "Estimating a Nonlinear Rational Expectations Commodity Price Model with Unobservable State Variables," Journal of Applied Econometrics, 10, S9-S40.
7. Deaton, A., and G. Laroque (1996): "Competitive Storage and Commodity Price Dynamics," Journal of Political Economy, 104, 896-923.
8. Gustafson, R. L. (1958): "Carryover Levels for Grains," USDA Technical Bulletin 1178. Washington, DC: United States Department of Agriculture.
9. Irigoyen, C., E. Rossi-Hansberg, and M. L. J. Wright (2002): Solutions Manual for Recursive Methods in Economic Dynamics. Harvard University Press, Cambridge.
10. Paul, A. B. (1970): "The Pricing of Binspace a Contribution to the Theory of Storage," American Journal of Agricultural Economics, 52, 1-12.
11. Schechtman, J. (1973): "Some Applications of Competitive Prices to Problems of Dynamic Programming Under Uncertainty. " Ph. D. dissertation, University of California, Berkeley.
12. Scheinkman, J. A., and J. Schechtman (1983): "A Simple Competitive Model with Production and Storage," Review of Economic Studies, 50, 1983, 427-441.
13. Stokey, N. L., R. E. Lucas, Jr., with E. C. Prescott (1989): Recursive Methods in Economic Dynamics. Harvard University Press, Cambridge.
14. UNCTAD (1975): "Second Progress Report on Storage Costs and Warehouse Facilities. " TD/B/C. 1/198, Trade and Development Board, Committee on commodities. United Nations Conference on Trade and Development, Geneva.
15. Wright, B. D., and J. C. Williams (1982): "The Economic Role of Commodity Storage. " Economic Journal, 92, 596-614.