9:30 am Tuesday, July 25, 2017
Thesis Defense: Optimal investment with high-watermark fee in a multi-dimensional jump diffusion model by Zheng Li (UT Austin) in RLM 9.166
This talk studies the problem of optimal investment and consumption in a market in which there is a fund charging high-watermark fees and many other stocks, and a riskless money market account. A small investor invests and consumes simultaneously on an infinite time horizon, and seeks to maximize expected (CRRA) utility from consumption. We first employ the Dynamic Programming Principle to write down the associated Hamilton-Jacobi-Bellman (HJB) integro-differential equation. Then we proceed to show that a classical solution of the HJB equation corresponds to the value function of the stochastic control problem, and hence the optimal strategies are given in feedback form in terms of the value function. Moreover, we provide numerical results to investigate the impact of various parameters on the investor's strategies. Submitted by
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