题目：Lifetime Portfolio Choice with Costly Adjustment for Living Standards

报告人：Prof. Hyeng Keun Koo （Ajou University）

地点：致远楼108室

时间：2024年11月29日 星期五 15：00—16：00

摘要:  We examine a model of consumption and portfolio choice over a finite horizon that incorporates adjustment costs for living standards,  with a particular focus on older individuals. We show that the optimal consumption and portfolio rules differ significantly between rich and ordinary individuals. Ordinary people with moderate means tend to decrease consumption and exhibit increasing relative risk aversion. In contrast, rich individuals tend to increase consumption and exhibit decreasing relative risk aversion until critical time points, typically a few years before death. After these critical points, they cease to increase their consumption and transfer all their wealth into safe assets.We make a technical contribution by solving this problem via a transformation into an optimal switching problem and representing the value function in analytic form similar to the analytic representation of the value of an American option.

报告人简介：Prof. Hyeng Keun Koo is Professor Emeritus in Department of Financial Engineering, Ajou University. His current interest is on long-term asset management,  optimal contract with limited commitment,  and history (amateurish). His works have published in many top journals of mathematical finance including Operations Research, SIAM Journal on Financial Mathematics and SIAM Journal on Control and Optimization. He is also  the designer of RiskCraft, which has been evolved to R3, the most widely used software package  for  market risk management  of financial institutions in Korea.

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