题目：Applications of Optimal Stopping Techniques: Contracting with Limited Commitment and Consumption/Portfolio Selection

报告人：Prof. Hyeng Keun Koo,    Ajou University

摘要：In this talk I will explain two applications of optimal stopping problems. The first application is to optimal contracting with limited commitment. I will show how this problem is related to the optimal consumption/investment problem with endogenously determined credit constraints. The second application is to optimal consumption and investment problem of an agent who does not tolerate decline in the standard of living. I will show that optimal consumption exhibits ratcheting, as shown by Dybvig(1995) and optimal portfolio exhibits a trend chasing behavior.

时间：2018年4月23日 17:00-18:00

地点：知新楼 B座 1238

邀请人：陈增敬