Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Wednesday, September 06, 2017
Location:  1360 East Hall (4:00 PM to 5:00 PM)

Title:  Time Inconsistency, Self Control and Portfolio Choice

Abstract:   Time inconsistency arises when one's preferences are not aligned over time; thus time-inconsistent dynamic control is essentially a self control problem. In this talk I will introduce several classes of time-inconsistent dynamic optimisation problems together with their economic motivations, and highlight the ways to address the time inconsistency. I will then provide a solution to a continuous-time portfolio choice model under the rank-dependent utility which is inherently time inconsistent.


Speaker:  Xunyu Zhou
Institution:  Columbia University

Event Organizer:     


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