Stochastic Optimal Growth Model with S-Shaped Utility Function

Abstract

In this paper we examine the problem of nding the optimal solution of the stochastic dynamic growth problem with in nite time horizon for a decision maker described in the prospect theory (PT decision maker) that has asymmetric attitude with respect to a reference level of consumption. We compare the optimal solution of the PT decision maker with the… (More)

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Cite this paper

@inproceedings{Mironov2016StochasticOG, title={Stochastic Optimal Growth Model with S-Shaped Utility Function}, author={Sergei V. Mironov and Alexey Faizliev and Sergei P. Sidorov and Alexandre Gudkov}, booktitle={DOOR}, year={2016} }