Carlo Strub
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Prof. Dr.
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Strub
First name
Carlo
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+41 71 224 2753
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  • Publication
    Envelope Theorems for Non-Smooth and Non-Concave Optimization
    (University of Zurich, 2012)
    Clausen, Andrew
    ;
    Strub, Carlo
    We study general dynamic programming problems with continuous and discrete choices and general constraints. The value functions may have kinks arising (1) at indifference points between discrete choices and (2) at constraint boundaries. Nevertheless, we establish a general envelope theorem: first-order conditions are necessary at interior optimal choices. We only assume differentiability of the utility function with respect to the continuous choices. The continuous choice may be from any Banach space and the discrete choice from any non-empty set.
    Type: working paper
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/92344
  • Publication
    Money Cycles
    (University of St. Gallen, 2011)
    Clausen, Andrew
    ;
    Strub, Carlo
    It is well known that agents may smooth out non-convexities using lotteries. Can agents use time and money instead? We show that in a labor model with a fixed cost of working, workers perfectly smooth their consumption if they have access to money governed by the Friedman rule. Away from the Friedman rule, workers repeat their choices over money cycles of finite length. They begin cycles with no money and end cycles by spending all of their money on vacations. A hot-potato effect causes workers to front-load consumption to the start of each money cycle, which is an inefficient distortion away from perfect consumption smoothing.
    Type: working paper
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/94880