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Optimal investment and consumption with uncertainty in utility

Alexey Rubtsov
(Aarhus University)
Torsdag, 22 marts, 2012, at 14:15-15:00, in Aud. D4 (1531-219)
We consider the problem of optimal investment and consumption over a finite time interval when the uncertainty in utility is introduced in the model. The random change in utility is mainly due to factors such as technological progress, product improvement, etc. There are two cases to consider, namely, when the proposed utility randomness is fully observed and when the utility randomness is only partially observed. Once the reward functional is defied, we use the Hamilton-Jacobi-Bellman equation to find the optimal strategy. As a special case, we solve the problems for a specific utility function when the objective is to maximize the utility of consumption and final wealth, the utility of consumption only, and the utility of final wealth only. We then analyse the results.
Organiseret af: The T.N. Thiele Centre
Kontaktperson: Søren Asmussen