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                 Department of Systems Engineering and Engineering Management
                              The Chinese University of Hong Kong

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Date: Tuesday, 11:00am - 12:00am, February 10, 2015

Title: Utility Optimization, Portfolio Turnpike and Long-run Investment and Consumption

Speaker: 边保军，同济大学教授，博士生导师，数学系主任

Abstract:
Turnpike properties show that if utility at large wealth levels are similar to power utility, then the investment strategy converges to the power utility strategy. We give a new and direct proof by use of PDE and the duality method for the turnpike theorem of investment and consumption problem. We discuss also the convergence rate for the turnpike theorem.

Biography:
边保军，同济大学教授，博士生导师,数学系主任。上海市数学会副理事长。1982年浙江大学获理学学士学位，1988年浙江大学获理学博士学位。曾主持973子课题和多项国家自然科学基金项目。从事偏微分方程和金融数学的研究，主要研究兴趣为偏微分方程解的凸性理论,最优投资消费问题及相关的贝尔曼方程。

Everyone is welcome to attend the talk!

Venue: Room 513,
       William M.W. Mong Engineering Building (ERB),
       (Engineering Building Complex Phase 2)
       The Chinese University of Hong Kong.

The talk will be hosted by:
Prof. Duan Li,
Department of Systems Engineering and Engineering Management,
The Chinese University of Hong Kong,
E-mail: dli@se.cuhk.edu.hk
Homepage: http://www1.se.cuhk.edu.hk/~dli/

SEEM-5202 Website: http://seminar.se.cuhk.edu.hk
Email: seem5202@se.cuhk.edu.hk