勷勤数学•专家报告

题      目：Consumption and  Portfolio Choice with Costly Adjustment for Living Standards

报  告  人：KOO HYENG KEUN 教授  (邀请人：杨舟)

                                   韩国亚洲大学

时      间：4月26日  10：00-11：00

地     点：数科院西楼二楼会议室

报告人简介:

       韩国亚洲大学教授，Princeton大学的经济博士、德克萨斯大学奥斯汀分校的数学博士;研究领域：金融数学、金融工程与资产定价、投资组合等；在顶尖的金融、经济期刊《Mathematical Finance》《Journal of Finance》上发表多篇论文。

摘      要：

       We study a finite-horizon consumption and portfolio choice problem incorporating adjustment costs for living standards, with a focus on older individuals. The optimal strategies differ notably between individuals with moderate  and high wealth: ordinary individuals reduce consumption and exhibit increasing relative risk aversion, while wealthy individuals increase consumption and exhibit decreasing relative risk aversion until a critical time, after which they shift entirely to safe assets. Our main technical contribution lies in solving this problem via a novel synthesis of four methodologies: the dual martingale approach, transformation into optimal switching problems, partial       differential equation techniques—focusing on double obstacle problems—and the Skorokhod lemma.

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