报告题目： Applications of Optimal Stopping Techniques: Contracting withLimited Commitment and Consumption/Portfolio Selection

报 告 人： Prof. HyengKeun Koo (Ajou University)

报告时间 ：2018年4月23日 17:00-18:00

报告地点：知新楼B-1238

报告摘要：

In this talk I willexplain  two applications of optimalstopping problems. The first application is to optimal contracting with limitedcommitment. I will show how this problem is related to the optimal consumption/investmentproblem with endogenously determined credit constraints. The second applicationis to optimal consumption and investment problem of an agent who does nottolerate decline in the standard of living. I will show that optimalconsumption exhibits ratcheting, as shown by Dybvig(1995) and optimal portfolioexhibits a trend chasing behavior.

欢迎各位老师同学积极参加！