A Closed-form Solution for a Model of Precautionay Saving
分析生命周期消费计划，在二次效用和正态收入假设下，用随机动态规划得到闭环线性决策规则，发现家庭采用最小最大策略，解释了预防性储蓄和消费对收入冲击的更大敏感性。
This paper analyses life-cycle consumption plans and distinguishes between temporal risk aversion and intertemporal substitution. The results assume that felicity functions are quadratic and that income follows a linear model with normally distributed errors. Stochastic dynamic programming then yields closed-loop linear decision rules. Certainty equivalence no longer holds, but instead households play a min-max strategy against nature. One finds a rationale for precautionary saving and a larger sensitivity of changes in consumption to income innovations.