Optimal growth and uncertainty: learning

DSpace/Manakin Repository

Open Research Exeter (ORE)

Optimal growth and uncertainty: learning

Show simple item record

dc.contributor.author Koulovatianos, Christos en_GB
dc.contributor.author Mirman, Leonard J. en_GB
dc.contributor.author Santugini, Marc en_GB
dc.date.accessioned 2009-08-14T11:20:10Z en_GB
dc.date.accessioned 2011-01-25T10:26:04Z en_US
dc.date.accessioned 2013-03-19T15:56:46Z
dc.date.issued 2009-01 en_GB
dc.description.abstract We introduce learning in a Brock-Mirman environment and study the effect of risk generated by the planner's econometric activity on optimal consumption and investment. Here, learning introduces two sources of risk about future payoffs: structural uncertainty and uncertainty from the anticipation of learning. The latter renders control and learning nonseparable. We present two sets of results in a learning environment. First, conditions under which the introduction of learning increases or decreases optimal consumption are provided. The effect depends on the strengths and directions of the two sources of risk, which may pull in opposite directions. Second, the effects of changes in the mean and riskiness of the distribution of the signal and initial beliefs on optimal consumption are studied. en_GB
dc.identifier.citation Journal of Economic Theory, January 2009, Vol. 144, pp. 280-295 en_GB
dc.identifier.doi 10.1016/j.jet.2008.04.002 en_GB
dc.identifier.uri http://hdl.handle.net/10036/77379 en_GB
dc.language.iso en en_GB
dc.publisher Elsevier en_GB
dc.relation.url http://www.sciencedirect.com/ en_GB
dc.subject optimal growth en_GB
dc.subject uncertainty en_GB
dc.subject learning en_GB
dc.subject dynamic programming en_GB
dc.title Optimal growth and uncertainty: learning en_GB
dc.type Article en_GB
dc.date.available 2009-08-14T11:20:10Z en_GB
dc.date.available 2011-01-25T10:26:04Z en_US
dc.date.available 2013-03-19T15:56:46Z
dc.identifier.issn 00220531 en_GB
dc.identifier.issn 10957235 en_GB
dc.description Authors' draft dated March 28, 2008. Final version available online at http://www.sciencedirect.com/ en_GB
dc.identifier.journal Journal of Economic Theory en_GB


Files in this item

Files Size Format View
koulovatianos2.pdf 180.4Kb PDF Thumbnail

This item appears in the following Collection(s)

Show simple item record

Browse

My Account

Local Links