Ramsey Rule with Progressive utility and Long Term Affine Yields Curves
type: Distribution
access URL: https://hal.science/hal-00974831
format: HTML
issued: 2026-05-05T16:13:21.512493
modified: 2026-05-05T16:13:21.499208

test_moissonnage_selune
type: Agent

Ramsey Rule with Progressive utility and Long Term Affine Yields Curves
type: Dataset
contact point: Organization
  fn: CCSD
keyword: portfolio-optimization
keyword: affine-yields-curves
keyword: market-consistency
keyword: progressive-utility-with-consumption
keyword: ramsey-rule
keyword: qfincpquantitative-finance-q-fincomputational-finance-q-fincp
keyword: msc-2010-60h15-91b18-91b70-91g10-91g30
keyword: infoeu-reposemanticsarticle
keyword: journal-articles
landing page: 2424-7863
description: he purpose of this paper relies on the study of long term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links discount rate and marginal utility of aggregate optimal consumption. For such a long maturity modelization, the possibility of adjusting preferences to new economic information is crucial, justifying the use of progressive utility. This paper studies, in a framework with affine factors, the yield curve given from the Ramsey rule. It first characterizes consistent progressive utility of investment and consumption, given the optimal wealth and consumption processes. A special attention is paid to utilities associated with linear optimal processes with respect to their initial conditions, which is for example the case of power progressive utilities. Those utilities are the basis point to construct other progressive utilities generating non linear optimal processes but leading yet to still tractable computations. This is of particular interest to study the impact of initial wealth on yield curves.
issued: 2026-05-05T16:13:21.509347
language: en
modified: 2026-05-05T16:13:21.509351