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Financial/Actuarial Mathematics Seminar

Time Inconsistency, Self Control and Portfolio Choice
Wednesday, September 6, 2017
4:00-5:00 PM
1360 East Hall Map
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
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics