A two-period model with portfolio choice: Understanding results from different solution methods

Katrin Rabitsch-Schilcher; Serhiy Stepanchuk

doi:10.1016/j.econlet.2014.05.028

A two-period model with portfolio choice: Understanding results from different solution methods

Katrin Rabitsch-Schilcher, Serhiy Stepanchuk

Publication: Scientific journal › Journal article › peer-review

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Abstract

Using a stylized two-period model we compare portfolio solutions from two local solution approaches–the approach of Judd and Guu (2001) and the approach of Devereux and Sutherland (2010, 2011)–with the true nonlinear portfolio solution.

Original language	English
Pages (from-to)	239 - 242
Journal	Economics Letters
Volume	124
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2014.05.028
Publication status	Published - 2014

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A Two Period Model with Portfolio Choice: Understanding Results from Different Solution Methods
Rabitsch-Schilcher, K. & Stepanchuk, S., 1 Apr 2014, (Department of Economics Working Paper Series; No. 162).
Publication: Working/Discussion Paper › WU Working Paper

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FinMaP: Financial Distortions and Macroeconomic Performance
Rabitsch-Schilcher, K. (PI - Project head), Punzi, M. T. (Researcher) & Schoder, C. (Researcher)
1/01/14 → 31/12/16
Project: Research funding

Cite this

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title = "A two-period model with portfolio choice: Understanding results from different solution methods",

abstract = "Using a stylized two-period model we compare portfolio solutions from two local solution approaches–the approach of Judd and Guu (2001) and the approach of Devereux and Sutherland (2010, 2011)–with the true nonlinear portfolio solution.",

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AB - Using a stylized two-period model we compare portfolio solutions from two local solution approaches–the approach of Judd and Guu (2001) and the approach of Devereux and Sutherland (2010, 2011)–with the true nonlinear portfolio solution.

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JO - Economics Letters

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A two-period model with portfolio choice: Understanding results from different solution methods

Abstract

Bibliographical note

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A Two Period Model with Portfolio Choice: Understanding Results from Different Solution Methods

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FinMaP: Financial Distortions and Macroeconomic Performance

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