Finance and Stochastics Seminar – Martin Herdegen

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Speaker: Martin Herdegen Title: Optimal Investment and Consumption in a Stochastic Factor Model Abstract: In this talk, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon.When the state space of the stochastic factor is finite, we give a complete characterisation of the well-posedness of the problem, and provide an efficient numerical algorithm for computing the value function. When the state space is a (possibly infinite) open interval and the stochastic factor is represented by an Itô diffusion, we develo…