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BEGIN:VEVENT
DTSTAMP:20230223T230628Z
DTSTART:20230308T150000Z
DTEND:20230308T160000Z
SUMMARY:Martin Herdegen - Optimal Investment and Consumption with Epstein
 -Zin Stochastic Differential Utility and Proportional Transaction Costs
UID:{http://www.columbasystems.com/customers/uom/gpp/eventid/}l12z-lehpra
 o9-hm3bk0
DESCRIPTION:Martin Herdegen (University of Warwick) will speak in the Pro
 bability seminar. (in-person)\n\nWe study the optimal investment-consump
 tion problem for an agent whose preferences are governed by Epstein-Zin 
 stochastic differential utility and who invests in a constant-parameter 
 Black-Scholes-Merton market. We assume that purchases and sales of the r
 isky asset are subject to proportional transaction costs. We fully chara
 cterise all parameter combinations for which the problem is well posed (
 which may depend on the level of transaction costs) and provide a full v
 erification argument under no additional technical assumptions and using
  primary methods only. Even in the special case of the additive power ut
 ility\, our arguments are significantly simpler and more elegant than th
 e results in the extant literature. A novel key idea is to parametrise c
 onsumption in terms of the shadow fraction of wealth. The talk is based 
 on joint work with David Hobson and Alex Tse.
STATUS:TENTATIVE
TRANSP:TRANSPARENT
CLASS:PUBLIC
LOCATION:Maurice Priestley Room G.108\, Alan Turing Building\, Manchester
 
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