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Mathematical Sciences-Financial Mathematics and Stochastic Analysis Seminar- Mauricio Elizalde (Autonomous University of Madrid)

Tuesday, October 26, 2021
3:00 pm to 4:00 pm


Floor/Room #: 

Speaker: Mauricio Elizalde (Autonomous University of Madrid)
Title: Intertemporal cost-efficient consumption

Abstract: Our aim is to provide an intertemporal cost-efficient consumption, an extension of the optimization of consumption inspired by the Distribution Builder, which is a tool developed by Sharpe, Johnson, and Goldstein to recover the investor’s risk preferences from choosing the desired distribution of the terminal wealth given their budget constraint. This framework contrasts with classical portfolio optimization, which takes into account the risk aversion of the agent modeled by utility functions that are hard to measure in practice.