Tid: 29 juni 2009 kl 10.15-11.00

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Nie Liping

Titel: Optimal Investment Decisions When Time-horizon is Uncertain (Examensarbete – Master thesis)

Abstract

In the optimal investment decision field, most of the previous research has focused on a deterministic time-horizon. However, as we know, the investors will not know with certainty when they should liquidate their portfolio and exit the market. Will the uncertainty of time-horizon influence the investment decision? The aim of this paper is to discuss this question. Based on the work by (Blanchet-Scalliet, C., El Karoui, N., Jeanblanc, M., Martellini, L.,(2008)), we discuss Merton optimal investment problem, and allow the conditional distribution function of an investor's time-horizon to be stochastic and correlated to returns on risky assets. We find that an investment decision will be influenced by the uncertainty of time-horizon. Also we verify their conclusions by using our own numerical test.

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