Optimal Saving Under Poisson Uncertainty

Posted: 3 Sep 2005

See all articles by Klaus Wälde

Klaus Wälde

University of Mainz; CESifo (Center for Economic Studies and Ifo Institute); UCL at Louvain la Neuve

Abstract

This paper studies optimal saving and investment behaviour of a household that can either invest in a riskless or a risky saving technology when risk results from a Poisson process. The focus is on behaviour of households in a general equilibrium setup. Poisson processes are introduced since they allow us to understand and model endogenous cycles jointly with long-run growth. It turns out that a very simple, intuitive and tractable characterization of equilibrium is possible.

Keywords: Optimal saving, Poisson uncertainty, continuous time

JEL Classification: C61, O33, O41

Suggested Citation

Wälde, Klaus, Optimal Saving Under Poisson Uncertainty. Journal of Economic Theory, Vol. 87, pp. 194-217, 1999, Available at SSRN: https://ssrn.com/abstract=793244

Klaus Wälde (Contact Author)

University of Mainz ( email )

Mainz School of Management and Economics
Mainz, 55128
Germany
+49 6131 3920143 (Phone)

HOME PAGE: http://www.waelde.com

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

UCL at Louvain la Neuve

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Louvain-la-Neuve, 1348
Belgium

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