Stochastic dynamic models with stock-dependent rewards

Yaw Nyarko, Lars J. Olson

Research output: Contribution to journalArticlepeer-review

Abstract

We examine the behavior of optimal consumption and investment policies in aggregate stochastic growth models when utility depends on both consumption and the stock level. Such models arise in the study of renewable resources, monetary growth, and growth with public capital. Conditions are given which guarantee that optimal policies are monotonic. The limiting behavior of the optimal consumption, investment, and output processes is characterized.

Original languageEnglish (US)
Pages (from-to)161-168
Number of pages8
JournalJournal of Economic Theory
Volume55
Issue number1
DOIs
StatePublished - Oct 1991

ASJC Scopus subject areas

  • Economics and Econometrics

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