Kuliah Umum 演講訊息

Abstract：

We consider an optimal consumption and investment problem on a finite time horizon to optimize the discounted expected exponential utility of consumption and terminal wealth. We treat a stochastic factor model that the mean returns of risky assets depend linearly on underlying economic factors formulated as the solutions of linear stochastic differential equations. The problem becomes a standard stochastic control problem. We derive the Hamilton--Jacobi--Bellman (HJB) equation and obtain an explicit solution. Using this solution, we construct the optimal strategy and obtain the optimal value explicitly.

20230323演講_畑 宏明教授（Graduate School of Business Administration, Hitotsubashi University, Japan）