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学术科研

Financial Math Seminar

Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs

演讲者：杨舟（华南师范大学）
时间：2018-10-24 10:00-11:00
地点：慧园3栋 415报告厅

Abstract: This paper studies the properties of the optimal portfolio-consumption strategies in a finite horizon robust utility maximization framework with different borrowing and lending rates. In particular, we allow for constraints on both investment and consumption strategies, and model uncertainty on both drift and volatility. With the help of the explicit solution, we quantify the impacts of uncertain market parameters, portfolio-consumption constraints and borrowing costs on the optimal strategies and their time monotone properties.