Portfolio-Choice with Epstein-Zin preferences

[robertdkirkby]

Originally published at: Portfolio-Choice with Epstein-Zin preferences – VFI Toolkit

Portfolio-choice models have households choosing savings, and the division of savings between safe and risky assets. Next period assets depend on these two decisions, as well as on a stochastic return to the risky asset. Version 2.1 of VFI Toolkit introduces riskyasset specifically for these problems in which aprime(d,u), that is, the next period endogenous…

[robertdkirkby]

Update: portfolio-choice now uses riskyasset (not Case 3)

Portfolio Choice: switch to riskyasset (breaking change)

Changed how portfolio choice works. You now use a riskyasset. This better fits where toolkit is going in terms of other asset types. It is also a necessary first step to implementing a combination of risky asset along with another standard asset (say housing). All the examples have been updated to reflect this. [Previously you used Case 3. Case three has been removed. Apologies for the inconvenience but the needed changes to codes are minor and it will very much be worthwhile in terms of enabli…