英文标题：
《Approximate aggregation in the neoclassical growth model with
ideosyncratic shocks》
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作者：
Karsten Chipeniuk, Nets Hawk Katz, Todd Walker
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最新提交年份：
2014
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英文摘要：
We provide an explicit aggregation in the neoclassical growth model with aggregate shocks and uninsurable employment risk. We show there are two restrictions on the unemployment shock for approximate aggregation to occur. First the probability of unemployment must be positive for each agent in each time period. That ensures a strong precautionary savings motive. Second, we must have like agents having similar future prospects. That is agents with similar employment status and wealth must have similar employment paths. The solution of the model must have distribution of wealth as a state variable and hence the curse of dimensionality must be confronted. We sidestep this thorny issue by introducing a Walrassian auctioneer that communicates the optimal amount of invested in every period for every outcome of the shocks to the agents.
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中文摘要：
我们在新古典增长模型中提供了一个显式的加总，其中包含总冲击和不可保险的就业风险。我们表明，对于发生近似聚集，失业冲击有两个限制。首先，在每个时间段，每个代理人的失业概率必须为正。这确保了一种强烈的预防性储蓄动机。第二，我们必须有类似的代理人，他们有着相似的未来前景。也就是说，具有相似就业地位和财富的代理人必须具有相似的就业路径。该模型的解必须将财富分配作为状态变量，因此必须面对维度灾难。我们回避了这个棘手的问题，引入了一位瓦拉森拍卖师，该拍卖师针对经纪人遭受的冲击的每一个结果，传达每个时期的最佳投资金额。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Classical Analysis and ODEs 经典分析与颂歌
分类描述：Special functions, orthogonal polynomials, harmonic analysis, ODE\'s, differential relations, calculus of variations, approximations, expansions, asymptotics
特殊函数、正交多项式、调和分析、Ode、微分关系、变分法、逼近、展开、渐近
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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