Optimal Consumption under Non-addictive Habit Formation in Incomplete Markets

2017-06-08

数学科学学院

学术报告


Optimal Consumption under Non-addictive Habit Formation in Incomplete Markets


Dr. Xiang YuHong Kong Polytechnic University


时间:201769日(星期五), 16:00-17:00

地点: 数学院第三报告厅

摘要: This project studies the optimal consumption under the non-addictive habit formation preference in general semimartingale market models. Our utility function is defined on the whole real line, which allows the non-negative consumption to fall below the habit formation level. To avoid the path-dependent structure in our optimization problem, we propose to work on a set of auxiliary processes. However, the non-negative consumption constraint becomes a path-dependent constraint on auxiliary primal elements. To formulate the dual problem, the stochastic Lagrange multipliers processes appear. This is the joint work with Erhan Bayraktar, University of Michigan.


报告人简介:Dr. Xiang Yu got his Ph.D. degree in Mathematics from the University of Texas at Austin in 2012. During 2012 to 2015, he worked as the postdoc Assistant Professor in the Department of Mathematics at the University of Michigan. His past research interests include utility maximization problems with consumption habit formation, fundamental problems on asset pricing with transaction costs, optimal investment with random endowments. He has published papers in top journals such as Annals of Applied Probability and Mathematical Finance. He is currently interested in large time asymptotics of variational inequalities and applications to turnpike theorems with transaction costs, optimal investment with high-water mark fees and some topics in forward performance and forward risk measures.

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