From simple stochastic control problems to more realistic ones: an example from portfolio theory

Professor Fausto Gozzi, Dipartimento di Economia e Finanza, Università LUISS (Rome) will be presenting this seminar.

In this talk we take an example from life-cycle portfolio theory (modelled as a stochastic optimal control problem) where we see how different economic questions, possibly arising from experimental data, bring to formulate and study more complex problems, in particularmodels which display path dependency and/or Mc Kean - Vlasov type dynamics. Ongoing results on such problems will be presented.

We will discuss, depending on the available time, the following modelling levels:

• Level 1: Lifecycle portfolio with Labor Income
• Level 2: Lifecycle portfolio with Path-Dependent Labor Income  (History dependent wages)
• Level 3/1: Lifecycle portfolio with Path-Dependent Labor Income with uncertainty on parameters (Taking account of estimation errors)
• Level 3/2: Lifecycle portfolio with Path-Dependent Labor Income with Mc Kean-Vlasov type dynamics

(Taking account of the effect of the environment: "Keeping up with the Joneses")

This is based on joint papers/work in progress with various authors, Biagini; Biffis; Cosso; Djeiche; Kharroubi; Pham; Prosdocimi; Rosestolato; Zanco and Zanella.

If you are interested, please contact Dr Miryana Grigorova at m.r.grigorova@leeds.ac.uk to get Zoom details for this seminar.