Reference : Optimal Growth and Uncertainty: Learning
Scientific journals : Article
Business & economic sciences : Macroeconomics & monetary economics
http://hdl.handle.net/10993/8532
Optimal Growth and Uncertainty: Learning
English
Koulovatianos, Christos mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
Mirman, Leonard [University of Virginia]
Santugini, Marc [IEA, HEC Montréal]
2009
Journal of Economic Theory
Academic Press
144
280-295
Yes (verified by ORBilu)
International
0022-0531
San Diego
CA
[en] Bayesian learning ; rational learning ; Dynamic programming
[en] We introduce learning in a Brock-Mirman environment and study the effect of risk generated by the planner’s econometric activity on optimal consumption and investment. Here, learning introduces two sources of risk about future payoffs: structural uncertainty and uncertainty from the anticipation of learning. The latter renders control and learning nonseparable. We present two sets of results in a learning environment. First, conditions under which the introduction of learning increases or decreases optimal consumption are provided. The effect depends on the strengths and directions of the two sources of risk, which may pull in
opposite directions. Second, the effects of changes in the mean and riskiness of the distribution of the signal and initial beliefs on optimal consumption are studied.
http://hdl.handle.net/10993/8532
10.1016/j.jet.2008.04.002

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