연 사 : 최 진 혁
소 속 : University of Texast at Austin
발표주제 :Optimal consumption with transaction costs
(shadow price approach).
발표내용 : Let’s consider an economic agent who can dynamically invest in
one stock(geometric BM) and one bond(cash), and needs to pay proportional
transaction costs. The agent’s goal is to maximize expected utility(log or
power) from consumption. In this situation, we construct a shadow price
process, which somehow absorbs transaction costs. By using this shadow
price process, we can solve the maximization problem rather easily, and also
find equivalent condition to the finiteness of the value function. The question
of an explicit characterization of the set of parameter values for which the
value function of the problem is finite was a long-standing open problem in
the area. This is joint work with Mihai Sirbu and Gordan Zitkovic.
발표일자 : 2012년 1월 4일, 오후4시
발표장소 : 아산이학관524호