Optimal consumption under uncertainty, liquidity constraints, and bounded rationality

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2014
Volume: 39
Issue: C
Pages: 237–254

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

I study how boundedly rational agents can learn a "good" solution to an infinite horizon optimal consumption problem under uncertainty and liquidity constraints. Using an empirically plausible theory of learning I propose a class of adaptive learning algorithms that agents might use to choose a consumption rule. I show that the algorithm always has a globally asymptotically stable consumption rule, which is optimal. Additionally, I present extensions of the model to finite horizon settings, where agents have finite lives and life-cycle income patterns. This provides a simple and parsimonious model of consumption for large agent based models.

Technical Details

RePEc Handle
repec:eee:dyncon:v:39:y:2014:i:c:p:237-254
Journal Field
Macro
Author Count
1
Added to Database
2026-01-29