PhiMac Seminar - Traian Pirvu - Time Consistent Portfolio Management


Speaker: Traian Pirvu  (McMaster)

Title: Time Consistent Portfolio Management

Abstract: We study several portfolio management problems which are time inconsistent, and the way out of this predicament is to consider the sub game perfect strategies which are characterized through a value function . In a stochastic volatility model a two stage approach is developed to find the value function. Numerical experiments explore the effect of the time discount rate on the sub game perfect and pre commitment strategies.
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McMaster University - Faculty of Science | Math & Stats