Dear colleagues,
On behalf of Walter Schachermayer, I would like to invite you to a talk
of Walter's guest,
Prof. Philip Dybvig,
Professor of Banking and Finance at Olin School of Business, Washington
University, Saint Louis, USA
As announced today on our event site,
http://www.fam.tuwien.ac.at/events/index.php
Prof. Dybvig will be speaking about the following topic:
"High Hopes and Disappointments: Preference for Timing of Information
without the Recursive Structure"
Abstract:
Recursive Utility models generalize von Neumann-Morgenstern preferences
by giving agents preference over the timing of resolution of
uncertainty. These preferences have been given an axiomatic foundation
by Kreps and Porteus [1978, 1979] and additional theoretical and
empirical development by L. Seldon [1978], Epstein and Zin [1989, 1991],
and others. We provide a generalization of these models which does not
have the recursive structure. In recursive models, preferences looking
forward do not depend on past consumption or beliefs. In our model,
preferences looking forward also do not depend on past consumption, but
they can depend on past beliefs, or perhaps more generally and more
accurately on what was expected to happen on other branches of the tree.
Preferences in our model are not defined recursively, which avoids the
questions of existence that can be difficult in settings with
continuousr time and/or an infinite horizon. We use our new model of
preferences to derive optimal consumption and investment strategies,
which can still be solved using dynamic programming but with an extra
state variable.
Best regards,
Tamara
--
Tamara Wille
Financial & Actuarial Mathematics Group
Vienna University of Technology
Wiedner Hauptstrasse 8-10
A-1040 Vienna
Austria
mail: start(a)fam.tuwien.ac.at
fon: +43-1 - 58801 - 10521
fax: +43-1 - 58801 - 10599
url:
http://www.fam.tuwien.ac.at/