- Date: 5 Apr. (Thu.)
- Place: W.W. 6th-floor, Colloquium Room
- Time: 16:30-18:00
- Speaker: Xunyu Zhou (Columbia University)
- Title: Time Inconsistency, Self Control and Portfolio Choice
- Abstract:
Time inconsistency arises when one’s preferences are not aligned over time; thus time-inconsistent dynamic control is essentiallya self control problem.
In this talk I will introduce several classes of time-inconsistent dynamic optimisation problems together with their economic motivations, and highlight the ways to address the time inconsistency.
I will then provide a solution to a continuous-time portfolio choice model under the rank-dependent utility which is inherently time inconsistent.