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BEGIN:VEVENT
DTSTAMP:20260422T151503Z
DTSTART;VALUE=DATE-TIME:20230301T110000
DTEND;VALUE=DATE-TIME:20230301T120000
SUMMARY:Optimal consumption with labour income and borrowing constraints 
 for recursive preferences\; Olivier Menoukeu Pamen (University of Liverp
 ool)
TZID:Europe/London
UID:20230301-8a17841a86e4dbee0187020865bb1f50@warwick.ac.uk
CREATED:20230321T023837Z
DESCRIPTION:Abstract: In this talk\, we present an optimal consumption an
 d investment problem for an investor with liquidity constraints who has 
 isoelastic recursive Epstein-Zin utility preferences and receives a stoc
 hastic stream of income. We characterise the optimal consumption strateg
 y as well as the terminal wealth for recursive utility under dynamic liq
 uidity constraints\, which prevent the investor to borrow against his st
 ochastic future income. Using duality and backward SDE methods in a poss
 ibly non-Markovian diffusion model for the financial market\, this gives
  rise to an interplay of singular control and optimal stopping problems.
  This talk is based on a joint work with D. Becherer and W. D. Kuissi Ka
 mdem. Unless otherwise specified\, in Term 2 and Term 3\, the Stochastic
  Finance seminar takes place on Wednesdays\, starting at 11:00 am. In Te
 rm 2\, the seminar takes place in Room B2.02 (Chemistry and Science Conc
 ourse). While the seminars will run in person\, there is also the possib
 ility to join via MS Teams. If you wish to be added to the respective Te
 am\, please contact the seminar organiser Miryana Grigorova. All are wel
 come.
LOCATION:B2.02 (Chemistry and Science Concourse) and via Teams
CATEGORIES:
LAST-MODIFIED:20230321T023633Z
ORGANIZER;CN=Christopher Buck:
END:VEVENT
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