Thread View: sci.math.num-analysis
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Started by Yongkang Wang
Sun, 04 Oct 1992 21:07
Help Wanted: The Problems
Author: Yongkang Wang
Date: Sun, 04 Oct 1992 21:07
Date: Sun, 04 Oct 1992 21:07
43 lines
2089 bytes
2089 bytes
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\begin{document}
\underline{\bf Probelm 1 \rm} \\
\\The agent maximizes the expected discounted utility
$$E_{0}\sum_{t=0}^{\tilde{T}} \beta^{t}U(c_{t}),$$
( where $ \tilde{T}\sim[T,
\sigma_{T}^{2}]$,is normaly distributed.)
\\
\\subject to budget constraints:
$$ c_{t} + p^{s}_{t} s_{t} +
p^{b}_{t} b_{t}
= s_{t-1} ( p^{s}_{t} + d_{t} ) +
b_{t-1} + l_{t} ; $$
where $ s_{t} , p^{s}_{t} , b_{t} , p^{b}_{t}, $ represent,
respectively, holding and price of one share of stock, and
holding and price of a riskless real government
bond, $ d_{t} $ is dividend of the stock, and $ l_{t}$ is the wage
received by the agent at period t. $d_{t}$ and $l_{t}$ are stochastic processes to
be specified, possibly, as Markov processes. $ E_{0}$ denotes the conditional expectation
operator given all information available to the agent in time 0.\\
\underline{\bf Problem 2\rm}
\\
\\The agent maximizes the expected discounted utility
$$E_{0}\sum_{t=0}^{\infty} \beta^{t}U(c_{t}) $$
subject to budget constraints:
$$ c_{t} + p^{s}_{t} s_{t} +
p^{b}_{t} b_{t}
= s_{t-1} ( p^{s}_{t} + d_{t} ) +
b_{t-1} + l_{t} - \xi p^{s}_{t} \mid s_{t}-s_{t-1}\mid ; $$
where $\xi$ is a constant, and all other notations have the same meanings
as in the previous model. The term $ \xi p^{s}_{t} \mid s_{t}-s_{t-1}\mid $ represents
transaction cost incurred in trading stock.
\end{document}
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