Dipartimento di Scienze Statistiche

Prof. Mogens Steffensen (University of Copenhagen)   Abstract: Dynamic mean-variance optimization is the starting point for discussing time-consistency in dynamic decision making. In consumption-investment problems the drawback of time-additivity has been addressed by recursive utility. We study an alternative approach and study extensions to uncertain lifetime and consumption-investment-insurance decisions over the life-cycle.  Keywords: Pre-committed, naive, and sophisticated agents, normalization, certainty equivalence, hump-shaped consumption. No prerequisites in stochastic control theory are needed.