Faculty of Engineering and Natural Sciences
On the Optimal Consumption and Investment Problems
Semih Onur Sezer , Dept. of Mathematics, Univ. of Michigan, Ann Arbor
We consider an investor in the classical Black-Scholes setting. The objective of the investor is to determine the optimal investment and consumption policies in order to maximize his lifetime consumption. We solve the problem explicitly in the case where the investor has linear preference on consumption and no incentive for bequest. We also consider the extension where the investor can purchase annuities at any time as an alternative irreversible investment. This is an ongoing work joint with V. Young from the University of Michigan.
Semih Onur Sezer received his bachelors degree in 2002 from the Department of IE in Bogazici University. He completed his MA and PhD degrees in 2005 and 2006 respectively in the Department of ORFE at Princeton University. Since 2006 he has been working as a post-doctoral assistant professor in the Department of Mathematics at the University of Michigan, Ann Arbor. His research interests include stochastic processes and their applications in statistics, engineering and finance. Disorder detection problems and optimal consumption problems are among the applications that he is interested in.
Friday, 19 December 2008, 17:40-18:40, FENS G035