Speaker : Prof. Xunyu Zhou (Columbia University)
Title : Time Inconsistency, Self Control and Portfolio Choice
Time : 2017-06-26 (Mon) 15:00 -
Place : Seminar Room 722, Institute of Mathematics (NTU Campus)
Abstract: Time inconsistency arises when one's preferences are not aligned over time; thus time-inconsistent dynamic control is essentially a self control problem. In this talk I will introduce several classes of time-inconsistent dynamic optimization problems together with their economic motivations, and highlight the ways to address the time inconsistency. I will then provide a solution to a continuous-time portfolio choice model under the rank-dependent utility which is inherently time inconsistent.