On the concavity of the consumption function
Web14 de jan. de 2014 · Carroll (1992; 1993) observes that many of the differences can be attributed to the concavity of the consumption function under uncertainty, but he does not describe the conditions under which the consumption function will be concave. We show that if labor income is stochastic, ... Webcient for the concavity of consumption functions in general consumption-saving problems. This paper shows that HARA is necessary, implying the concavity of consumption is not a robust prediction outside the HARA class. Keywords: concavity, consumption function, hyperbolic absolute risk aversion, robust predictions. JEL …
On the concavity of the consumption function
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Web1 de mai. de 2024 · If the consumption function in Lemma 1 is concave for arbitrary distribution of (β, R, Y), then u exhibits constant relative risk aversion (CRRA). Conversely, if u is CRRA, then the consumption function of the consumption-saving problem (1) is concave. Proof. Let c, s be the consumption and saving functions. WebOn the Concavity of Consumption Function under Habit Formation⋆ Haoyu Liua,∗ aGuanghua School of Management, Peking University, 5 Yiheyuan Road, Haidian …
Web28 de set. de 2024 · Download PDF Abstract: Carroll and Kimball (1996) have shown that, in the class of utility functions that are strictly increasing, strictly concave, and have nonnegative third derivatives, hyperbolic absolute risk aversion (HARA) is sufficient for the concavity of consumption functions in general consumption-saving problems. This … WebNOTES. 1 For the concavity of the consumption function generated by prudence, see Carroll and Kimball [4].. 2 Uncertainty in rate-of-return or labor income can be easily introduced in the model set-up, but will not alter the main implication. Indeed, since the very message of this paper is the concavity of consumption function under deterministic …
WebConcavity relates to the rate of change of a function's derivative. A function f f is concave up (or upwards) where the derivative f' f ′ is increasing. This is equivalent to the … Web1 de jun. de 2024 · Contrary to the results of a standard consumption-saving model with time-separable utility, we show that the consumer’s consumption function can be …
WebThe parameter b governs the degree of concavity of the consumption function. The higher b, the sooner the derivative of approximate consumption function converges to its limit, •. Carroll and Kimball (1996) show that uncertainty reduces consumption for each level of cash-on-hand. So the higher is uncertainty, the larger has to be b.
Web7 de set. de 2001 · This paper illustrates the natural role that Hellinger processes can play in solving problems from ¯nance. We propose an extension of the concept of Hellinger process applicable to entropy distance and f-divergence distances, where f is a convex logarithmic function or a convex power function with general order q, 0 6= q < 1. These concepts … bitcoin machine in anchorage alaskaWebWith the assumption of the concavity of absolute risk tolerance, the concavity of the consumption function has been proved. This result significantly broadens the … dary rolinsWeb1 de mar. de 2024 · Download Citation On Mar 1, 2024, Haoyu Liu and others published On the concavity of consumption function under habit formation Find, read and cite … daryton ramseyWeb18 de nov. de 2024 · This paper studies the concavity of the consumption function of a habit-forming consumer with convex absolute risk tolerance. Habit formation is … bitcoin machine in greer scWebWe consider an optimal investment problem to maximize expected utility of the terminal wealth, in an illiquid market with search frictions and transaction costs. In the market model, an investor’s attempt of transaction is successful only at arrival times of a Poisson process, and the investor pays proportional transaction costs when the transaction is successful. … dary seed growtopiaWebDownloadable! This paper demonstrates the concavity of the consumption function of infinitely living households under liquidity constraints who are not prudent - i.e. with a quadratic utility. The concavity of the consumption function is closely related to the 3-convexity of the value function. bitcoin machine in connecticutWebCiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): Zeldes (1989), Carroll (1992; 1993), and others have shown that optimal consumption behavior … bitcoin machine in atlanta