Suboptimal deterministic investment strategies – University of Copenhagen

Department of Mathematical Sciences > Calendar > Events > Suboptimal determinist...

Suboptimal deterministic investment strategies

Specialeforsvar ved Jingyu She


Titel: Suboptimal deterministic investment strategies


Abstract: This thesis aims to explore suboptimal deterministic alternatives to the optimal deterministic solution of the classical finite-time consumption-investment problem. We assume an exogenously given savings rate and search for a deterministic function of time to retirement, dictating the proportion of savings invested in risky assets, chosen in a way to optimise the terminal utility of a power-utility investor. While the solutions suggested are suboptimal, they are less numerically advanced than the optimal deterministic solution, and therefore easier to communicate in real-life scenarios. 


Vejledere:  Mogens Steffensen / Magnus Tor Ry Hessler
Censor:      Mikkel Jarbøl, Norli Pension