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金融工程研究中心学术报告：Optimal housing, consumption and portfolio choices
- 来源：
- 学校官网
- 收录时间：
- 2024-12-27 16:23:58
- 时间：
- 2024-12-28 14:00:00
- 地点：
- 金融工程研究中心105学术报告厅
- 报告人：
- 李仲飞 教授 南方科技大学
- 学校：
- -/-
- 关键词：
- housing, consumption, portfolio, stochastic income, financial assets, mortgage loan, utility maximization, stochastic control, impulse control
- 简介：
- This paper investigates a housing, investment and consumption problem for a household who has stochastic income, consumes on non-housing goods, invests in financial assets, and plans to buy a house for dwelling. When buying a house, the household is required to pay a fraction of the housing value as the down payment and finances the rest through a mortgage loan. The household obtains utility from the consumption before buying a house, and from the consumption and housing units after buying a house. The household aims to maximize the total expected discounted utility, and to find the optimal consumption and investment strategies before and after buying a house, the optimal time to buy a house and the optimal housing units.
- -/- 67
报告介绍：
本讲座将探讨一个家庭在面对随机收入时，在住房、投资和消费方面的问题。具体包括购买住房前后的最优消费和投资策略、购房的最佳时机以及最优住房单位的选择。通过将问题转化为结合随机控制和脉冲控制的问题，研究结果表明时间偏好、消费偏好、首付比例和相对风险厌恶系数在其中起着重要作用。
报告人介绍：
李仲飞，南方科技大学讲席教授，国务院学位委员会学科评议组成员，曾获教育部CJ学者特聘教授、国家杰青、全国模范教师、国务院政府特殊津贴专家、全国百篇优秀博士学位论文、新中国成立70周年观礼嘉宾等奖励与荣誉。曾任中山大学岭南学院特聘教授、社科处处长、管理学院执行院长、创业学院院长。
