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                                                     Seminar

             Department of Systems Engineering and Engineering Management
                                  The Chinese University of Hong Kong

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Title

:

Optimal Investment-Consumption Strategy in a Discrete-Time Model with Regime Switching

　

　

　

Speaker

:

Prof. Hailiang Yang

　

　

Department of Statistics and Actuarial Science

　

　

The University of Hong Kong

　

　

　

Date

:

April 2nd, 2008 (Wednesday)

　

　

　

Time

:

4:30 p.m. - 5:30 p.m.

　

　

　

Venue

:

Room 513

　

　

William M.W. Mong Engineering Building

　

　

(Engineering Building Complex Phase 2)

　

　

CUHK

　

　

　

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Abstract:
　

We analyze the investment-consumption problem of a risk averse investor in discrete-time model. We assume that the return of a risky asset depends on the economic environments and that the economic environments are ranked and described using a Markov chain with an absorbing state which represents the bankruptcy state. We formulate the investor\'s decision as an optimal stochastic control problem. Closed form expressiones of the optimal investment and consumption strategy have been obtained. In addition,
we investigate the impact of economic environment regime on the optimal strategy. We employ some tools in stochastic orders to obtain the properties of the optimal strategy.
(This is a joint work with Ka Chun Cheung.)


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Biography:
　

Prof. Yang got his BSc degree at Inner Mongolia University, MMath degree at University of Waterloo and PhD degree from University of Alberta. Now he is a professor in the Department of Statistics and Actuarial Science at The University of Hong Kong.


************************* ALL ARE WELCOME ************************

　

　

　

Host

:

Prof. Chen Nan

Tel

:

(852) 2609-8237

Email

:

nchen@se.cuhk.edu.hk

　

　

　

Enquiries

:

Prof. Nan Chen or Prof. Sean X. Zhou

　

:

Department of Systems Engineering and Engineering Management

　

　

CUHK

Website

:

http://www.se.cuhk.edu.hk/~seg5810

Email

:

seg5810@se.cuhk.edu.hk

　

　

　

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