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(s): Xunyu Zhou (Columbia University)
Building: | East Hall |
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Event Type: | Workshop / Seminar |
Tags: | Mathematics |
Source: | Happening @ Michigan from Department of Mathematics, Financial/Actuarial Mathematics Seminar - Department of Mathematics |