Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Oct, 1962, Volume 30, Issue 4

The Accumulation of Risky Capital: A Sequential Utility Analysis

https://www.jstor.org/stable/1909322
p. 729-743

Edmund S. Phelps

This paper presents a utility analysis of personal saving in which the only storable asset, capital, exposes its holder to the risk of capital gain or loss. The consequences of this risk and the effect of other parameters upon the optimal consumption policy is analyzed by means of dynamic programming.


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