Workshop: Optimization and Optimal Control
Time: Thu, October 23, 2008, 15:00-15:50
Speaker: Mihail Zervos
Abstract
We consider the problem of continuous time optimal consumption and investment for an agent investing in a market consisting of a risky asset and a bank account. The agent's preferences exhibit habit formation, which captures the effect of past consumption on current utility. Also, the agent is characterised by time inconsistent preferences that are reflected by hyperbolic discounting. We establish the existence of optimal consumption and investment strategies, and we obtain explicit solutions for agents with power utility function.
Presentation slides (pdf, 87 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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