Abstract: In this talk, I will introduce a continuous-time portfolio selection problem faced by an agent with S-shaped preference who maximises the discounted utilities derived from the portfolio's periodic performance over an infinite horizon. I will first briefly outline the solution method under a baseline exponential discounting setup. Then I will introduce a time-inconsistent version of the problem featuring quasi-hyperbolic discounting where multiple notions of optimality arise. If the agent is sophisticated who seeks a consistent planning strategy, the problem can then be analysed via a static mean field game where theoretical characterisation of the optimal strategy is provided.

Unless otherwise specified, in Term 2 and Term 3, the Stochastic Finance seminar takes place on Wednesdays, starting at 11:00 am. In Term 2, the seminar takes place in Room B2.02 (Chemistry and Science Concourse)Link opens in a new window.

While the seminars will run in person, there is also the possibility to join via MS Teams. If you wish to be added to the respective Team, please contact the seminar organiser Miryana GrigorovaLink opens in a new window.

All are welcome.