Ramsey Rule with Progressive utility and Long Term Affine Yields Curves

Abstract : he purpose of this paper relies on the study of long term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links discount rate and marginal utility of aggregate optimal consumption. For such a long maturity modelization, the possibility of adjusting preferences to new economic information is crucial, justifying the use of progressive utility. This paper studies, in a framework with affine factors, the yield curve given from the Ramsey rule. It first characterizes consistent progressive utility of investment and consumption, given the optimal wealth and consumption processes. A special attention is paid to utilities associated with linear optimal processes with respect to their initial conditions, which is for example the case of power progressive utilities. Those utilities are the basis point to construct other progressive utilities generating non linear optimal processes but leading yet to still tractable computations. This is of particular interest to study the impact of initial wealth on yield curves.
Type de document :
Pré-publication, Document de travail
2014
Liste complète des métadonnées

Littérature citée [28 références]  Voir  Masquer  Télécharger

https://hal.archives-ouvertes.fr/hal-00974831
Contributeur : Mohamed Mrad <>
Soumis le : lundi 7 avril 2014 - 15:04:52
Dernière modification le : lundi 4 décembre 2017 - 10:36:43
Document(s) archivé(s) le : lundi 7 juillet 2014 - 11:35:30

Fichiers

AffineModel21_02.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-00974831, version 1
  • ARXIV : 1404.1913

Citation

Nicole El Karoui, Mohamed Mrad, Caroline Hillairet. Ramsey Rule with Progressive utility and Long Term Affine Yields Curves. 2014. 〈hal-00974831〉

Partager

Métriques

Consultations de la notice

571

Téléchargements de fichiers

154