时间：2019年10月17日(周四) 上午9：30-10：30
地点：中北校区理科大楼A1716报告厅
题目：Robust Consumption Portfolio Optimization with Stochastic Differential Utility
主讲人：张奇，复旦大学数学科学学院，教授
主持人：危佳钦
摘要：
We study a continuous time intertemporal consumption and portfolio choice problem with a stochastic differential utility preference of Epstein-Zin type for a robust investor, who worries about model misspecification and seeks robust decision rules. The verification theorem which formulates the Hamilton-Jacobi-Bellman-Isaacs equation under a non-Lipschitz condition is provided. Then with the verification theorem, the explicit closed-form optimal robust consumption and portfolio solutions to a Heston model are given.