Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2009-06-16
Number: 09-054/2
Author-Name: Chris Elbers
Author-Workplace-Name: VU University Amsterdam
Author-Name: Jan Willem Gunning
Author-Workplace-Name: VU University Amsterdam
Author-Name: Melinda Vigh
Author-Workplace-Name: VU University Amsterdam
Title: Investment under Risk with Discrete and Continuous Assets
Abstract: This paper considers a general class of stochastic dynamic choice models with discrete and continuous decision variables. This class contains a variety of models that are useful for modeling intertemporal household decisions under risk. Our examples are drawn from the field of development economics. We formalize this class as a dynamic programming problem, then propose a solution method that relies on value function iteration. Finally, in an example we show how our algorithm can be applied to solve and estimate a dynamic model with discrete and continuous controls.
Classification-JEL: C61, C63, C51, E12, G11, Q12
Keywords: value function iteration, mixed continuous/discrete controls, stochastic dynamic choice model
File-Url: https://papers.tinbergen.nl/09054.pdf
File-Format: application/pdf
File-Size: 332777 bytes
Handle: RePEc:tin:wpaper:20090054