The Endogenous Grid Method for Epstein-Zin Preferences
Abstract
A power transformation extends EGM to recursive preferences. Code and paper for solving consumption-savings problems with Epstein-Zin utility. The algorithm requires no root-finding, achieves speed gains of one to two orders of magnitude over value function iteration, and improves accuracy by more than one order of magnitude.
Publication details
- Journal / source
- Zenodo (CERN European Organization for Nuclear Research)
- Publication date
- 3 July 2026
- Language
- EN