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SUMMARY:Periodic portfolio selection with quasi-hyperbolic discounting - A
 lex Tse (UCL)
DTSTART:20231026T120000Z
DTEND:20231026T130000Z
UID:TALK205744@talks.cam.ac.uk
CONTACT:Cerf Admin
DESCRIPTION:We introduce a continuous-time portfolio selection problem fac
 ed by an agent with S-shaped preference and present bias\, whose goal is t
 o maximise utilities derived from the portfolio’s periodic performance o
 ver an infinite horizon. The underlying quasi-hyperbolic discount function
  induces time-inconsistency and different notions of optimality are discus
 sed. Interestingly\, there are cases in which agent’s present bias and n
 aivety will result in more desirable risk-taking behaviours via moderating
  excessive leverage and underinvestment in the extreme states of the world
 .
LOCATION:Castle Teaching Room
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