|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