Time Inconsistency, Self Control and Portfolio Choice

10 June 2016

Time inconsistency arises when one's preferences are not aligned
over time; thus time-inconsistent dynamic control is essentially
a self control problem. In this talk I will introduce several classes of time-inconsistent
dynamic optimisation problems together with their economic
motivations, and highlight the ways to address the time inconsistency.
I will then provide a solution to a continuous-time portfolio choice
model under the rank-dependent utility which is inherently time inconsistent.
  • Mathematical Finance Internal Seminar