时间：2018年10月29日(周一)上午10:00-11:00
地点：理科大楼A1716报告厅（中北校区）
报告人：Zhuo Jin （The University of Melbourne, Australia）
报告题目：Optimal Consumption and Investment Strategies with Liquidity Risk and Uncertain Lifetime
摘要：
We consider the optimal consumption and investment strategies for households throughout their lifetime. Risks such as the illiquidity of assets, abrupt changes of market states, and lifetime uncertainty are considered. Taking the effects of heritage into account, investors are willing to limit their current consumption in exchange for greater wealth at their death, because they can take advantage of the higher expected returns of illiquid assets. Further, we model the liquidity risks in an illiquid market state by introducing frozen periods with uncertain lengths, during which investors cannot continuously rebalance their portfolios between dif-ferent types of assets. In a liquid market, investors can continuously remix their investment portfolios. In addition, a Markov regime-switching process is intro-duced to describe the changes in the market’s states. Jumps, classified as either moderate or severe, are jointly investigated with liquidity risks. Explicit forms of the optimal consumption and investment strategies are developed using the dy-namic programming principle. Markov chain approximation methods are adopted to obtain the value function. Numerical examples demonstrate that the liquidity of assets and market states have significant effects on optimal consumption and investment strategies in various scenarios.