Optimal growth and uncertainty: Learning

• 成果类型: Article
• 署名作者: Koulovatianos, Christos; Mirman, Leonard J.; Santugini, Marc
• 署名单位: Universite de Montreal; HEC Montreal; Universite de Montreal; HEC Montreal; University of Virginia; University of Vienna
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2008.04.002
• 发表日期: 2009
• 页码: 280-295
• 关键词: Dynamic Programming; learning; GROWTH; RISK; uncertainty

摘要

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 due to 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 the mean and riskiness of the distribution of the signal and initial beliefs on optimal consumption are studied. (C) 2008 Elsevier Inc. All rights reserved.