|Date: Wednesday, January 03, 2018
Location: 1096 East Hall (3:00 PM to 4:00 PM)
Title: Mean-Variance Criterion over a Random Horizon
Abstract: We investigate time-consistent equilibrium feedback strategies for a dynamic mean-variance problem of investing in a risky financial market over a random time horizon, under both discrete-time and continuous-time frameworks. We explicitly obtain equilibrium feedback strategies in some cases, and we find that the equilibrium feedback strategies over a geometrically or exponentially distributed random horizon might be non-unique.
Joint work with David Landriault, Bin Li, and Danping Li of University of Waterloo.
Speaker: Jenny Young