Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/319946 
Authors: 
Year of Publication: 
2012
Series/Report no.: 
CASMEF Working Paper Series No. WP 2012/03
Publisher: 
LUISS Guido Carli, Department of Economics and Business, Arcelli Centre for Monetary and Financial Studies, Rome
Abstract: 
We discuss how Whittle's (Whittle, 1990) approach to risk-sensitive optimal control problems can be applied in economics and finance. We show how his analysis of the class of Linear Exponential Quadratic Gaussian problems can be extended to accommodate time-discounting, while preserving its simple and general recursive solutions. We apply Whittle's methodology investigating two specific problems in financial and monetary policy.
Subjects: 
Risk-aversion
Linear Exponential Quadratic Gaussian
Optimal Control
JEL: 
C61
Document Type: 
Working Paper

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