时间：2019年6月13日 15点30分
地点：九里校区零号楼0411室
题目：Optimal consumption portfolio choice with preferences for cash under the constant elasticity of variance model
主讲人：户晗蕾，现任西南交通大学金融与财务系教师，2018年毕业于西南财经大学，获经济学博士学位.研究方向：数理金融学，投资组合和随机最优控制。
内容简介: Our work considers a consumption-portfolio problem where the money enters the agent's utility function under the constant elasticity of variance model. Applying stochastic control approach and variable change technique, we solve the corresponding Hamilton-Jacobi-Bellman equation and provide closed-form solutions for the optimal consumption and portfolio strategy both in an infinite and finite horizon setting. We also prove verification results showing that the solution to the Bellman equation is indeed the value function of the problem. Finally, numerical simulations are presented to discuss the effects of market parameters on the optimal strategies.
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