David Hobson - The investment-consumption problem for stochastic differential utility
|Starts:||15:00 9 Mar 2022|
|Ends:||16:00 9 Mar 2022|
|What is it:||Seminar|
|Organiser:||Department of Mathematics|
David Hobson (University of Warwick) will speak in the Probability seminar.
The Merton perpetual investment-consumption problem is a classical problem in the finance and stochastic control literatures in which an agent maximises the expected discounted utility of consumption over consumption strategies which are financed via investments in a risky asset.
However, it is appreciated that the additive form of the objective criteria means that the classical Merton set-up fails to capture the full richness of the underlying problem, and this motivates the extension to Stochastic Differential Utilty (SDU).
In this talk we will discuss how best to formulate the investment-consumption prroblem for SDU and give intuition behind how best to deal with the issues which arise.
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