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Optimal Consumption with Reference to Past Spending Maximum

报告题目:Optimal Consumption with Reference to Past Spending Maximum

邀请人:徐承龙
报告人:李迅(Xun Li) 教授 香港理工大学
时间:2019年108日(周二) 14:40-15:30

地点:红瓦楼726
The problems of non-concave utility maximization appear in many areas, such as in behavior economics, incentive schemes, and goal problems. The standard approach to solving these problems is to use the concavification principle. We provide a framework for solving non-concave utility maximization problems, where the concavification principle may not hold and the utility functions can be discontinuous. In particular, we find that adding portfolio constraints, which makes the concavification principle invalid, can significantly affect economic insights in the existing literature. Theoretically, we show that a monotone, stable, and consistent finite difference numerical scheme still converges to the value function under the framework. 
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