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 M3//EN
VERSION:2.0
CALSCALE:GREGORIAN
METHOD:PUBLISH
BEGIN:VEVENT
DTSTAMP:20210918T123102Z
DTSTART:20210929T140000Z
DTEND:20210929T150000Z
SUMMARY:David Hobson  -  The investment-consumption problem for stochasti
 c differential utility
UID:{http://www.columbasystems.com/customers/uom/gpp/eventid/}yhp-ktprrm4
 2-przonc
DESCRIPTION:David Hobson (University of Warwick) will speak in the Probab
 ility seminar. \n\nThe Merton perpetual investment-consumption problem i
 s a classical problem in the finance and stochastic control literatures 
 in which an agent maximises the expected discounted utility of consumpti
 on over consumption strategies which are financed via investments in a r
 isky asset.\nHowever\, it is appreciated that the additive form of the o
 bjective criteria means that the classical Merton set-up fails to captur
 e the full richness of the underlying problem\, and this motivates the e
 xtension to Stochastic Differential Utilty (SDU).\nIn this talk we will 
 discuss how best to formulate the investment-consumption prroblem for SD
 U and give intuition behind how best to deal with the issues which arise
 .
STATUS:TENTATIVE
TRANSP:TRANSPARENT
CLASS:PUBLIC
LOCATION:https://zoom.us/j/97200455451
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