The envelope theorem in dynamic optimization

Abstract

This paper is concerned. with the effects of a change in an exogenous parameter on a control problem's optimal performance. function. A dynamic envelope theorem is obtained• which generalizes and relates results from earlier studies. The theorem. derived is applied to a problem of dynamic lifetime consumption theory, giving rise to an intertemporal analogue of the Slutsky. equation.

Value and liquidity under changing market conditions

“…These facts make a static model unrealistic. Fortunately, the fact that a seller values only the selling price and the probabilities of sale at a sequence of points in time allows me to analyse this problem without invoking the full complexity of a dynamic Slutsky Equation (LaFrance and Barney, 1991;Caputo, 1990). Thus, with a few modifications, the results derived above remain Value and liquidity effects 17 6 If changes in market are not anticipated then they would have no effect on the seller's behavior: for a fixed list price, the effect of a change in the locus can be inferred mechanically from equations (1) and (2). true.…”

To be, or not to be, that is the question: An empirical study of the WTP for an increased life expectancy at an advanced age

“…The reader is referred to Caputo (1990), Johansson and L6fgren (1994), LaFrance and Barney (1991) and Seierstad and Sydsaeter (1987) for details (in particular on how to use the value function in comparative dynamics). In order to arrive at an expression for the value of changes in survival probabilities which can be estimated from empirical data, we proceed as follows.…”

How Many Cake-Eaters? Chouette, on a du monde a diner!

“…16 Owing to the particular assumptions of our model, migration never has long run benefits, either in the steady state or with respect to the present value of the stream of per capita utility. However, contrary to the popular view, migration might beuefit the generation alive at the time it occurs.…”