Presented By: Department of Mathematics
Financial/Actuarial Mathematics Seminar
Time Inconsistency, Self Control and Portfolio Choice
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)
Explore Similar Events
-
Loading Similar Events...