张奇 | Robust Consumption Portfolio Optimization with Stochastic Differential Utility

时间:2019-10-09浏览:10设置

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.

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