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