報告題目:Optimal investment, heterogeneous consumption and the best time for retirement
報 告 人:許左權(quán)副教授(香港理工大學(xué))
報告時間:2019年6月18日(星期二)上午10:30
報告地點(diǎn):清水河校區(qū)主樓A1-513
邀 請 人:彭江艷副教授
報告摘要:
This talk will introduce an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. We show that one should consume only basic goods when the wealth is small, and consume basic goods and make savings when the wealth is intermediate, and to consume small portion in basic goods and large portion in luxury goods when the wealth is large. We also show that all individuals should retire at the same level of marginal utility. This talk is based on joint work with Prof. Harry Zheng from the Imperial College London.
報告人簡介:
許左權(quán),香港理工大學(xué)副教授,香港中文大學(xué)博士。長期從事金融數(shù)學(xué)研究,主要工作發(fā)表在《Mathematical Finance》,《Annals of Applied Probability》,《Mathematics of Operations Research》等國際頂級學(xué)術(shù)期刊上。多次受邀于牛津大學(xué)、普林斯頓大學(xué)、Bachelier金融協(xié)會全球大會等做學(xué)術(shù)報告。