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A two-period model with portfolio choice: Understanding results from different solution methods |
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| Authors: | Katrin Rabitsch Serhiy Stepanchuk |
| Institution: | 1. University of Vienna, Department of Economics, Oskar-Morgenstern-Platz 1, A-1090 Vienna, Austria;2. Vienna University of Economics and Business, Institute for International Economics and Development, Welthandelsplatz 1, A-1020 Vienna, Austria;3. École Polytechnique Fédérale de Lausanne, Chair of International Finance, Switzerland |
| Abstract: | Using a stylized two-period model we compare portfolio solutions from two local solution approaches–the approach of Judd and Guu (2001) and the approach of Devereux and Sutherland (2010, 2011)–with the true nonlinear portfolio solution. |
| Keywords: | E44 F41 G11 G15 |
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