Finitely Precise Dynamic Programming and Portfolio Choice

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• 作者：D. O. Stahl (1)
  
• 刊名：Computational Economics
• 出版年：2015
• 出版时间：March 2015
• 年：2015
• 卷：45
• 期：3
• 页码：397-405
• 全文大小：1,292 KB
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• 作者单位：D. O. Stahl (1)
  
  1. Department of Economics, University of Texas at Austin, Austin, USA
  
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Economic Theory
  
• 出版者：Springer Netherlands
• ISSN：1572-9974

文摘

Using a standard lifetime savings and portfolio choice model with a probabilistic choice function, we demonstrate that the predictions of the infinitely precise model are not robust to the introduction of realistic levels of household imprecision. The predicted deviations from the optimal stock/bond allocation are large and biased towards bonds, which can help explain the equity-premium puzzle.