Search Results - subject:"value function"

Realization utility with stop-loss strategy

Yang, Chunpeng; Zhang, Zhanpei - In: The quarterly review of economics and finance : journal … 81 (2021), pp. 261-275

Persistent link: https://www.econbiz.de/10012656291

Bilevel integer programs with stochastic right-hand sides

Zhang, Junlong; Özaltın, Osman Y. - In: INFORMS journal on computing : JOC 33 (2021) 4, pp. 1644-1660

Persistent link: https://www.econbiz.de/10012796959

The envelope theorem, Euler and Bellman equations, without differentiability

Marimon, Ramon; Werner, Jan - In: Journal of economic theory 196 (2021), pp. 1-33

Persistent link: https://www.econbiz.de/10012813450

How to solve dynamic stochastic models computing expectations just once

Judd, Kenneth L.; Maliar, Lilia; Maliar, Serguei; … - In: Quantitative Economics 8 (2017) 3, pp. 851-893

We introduce a computational technique- precomputation of integrals - that makes it possible to construct conditional expectation functions in dynamic stochastic models in the initial stage of a solution procedure. This technique is very general: it works for a broad class of approximating...

Persistent link: https://www.econbiz.de/10011995505