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Consumption-Investment Problems
Provider: Faculty of Science

Activity no.: 5574-22-07-31 
Enrollment deadline: 05/09/2022
PlaceDepartment of Mathematical Sciences
Universitetsparken 5, 2100 København Ø
Date and time05.09.2022, at: 08:00 - 11.11.2022, at: 16:00
Regular seats50
ECTS credits7.50
Contact personNina Weisse    E-mail address: weisse@math.ku.dk
Enrolment Handling/Course OrganiserMogens Steffensen    E-mail address: mogens@math.ku.dk
Written languageEnglish
Teaching languageEnglish
Semester/BlockBlock 1
Scheme groupB
Exam formOral examination, 30 min. Without time for preparation
Grading scale7 point grading scale. For PhD students: Passed / Not Passed
Course workload
Course workload categoryHours
Lectures28.00
Preparation177.00
Exam1.00
Sum206.00
Content
An overview of classes of problems, solution methods, and classes of solutions within personal financial optimization. Personal financial optimization includes consumption-investment problems and classes of problems are categorized by a) specification of preferences in terms of consumption utility functions, b) time versus risk preferences, c) inclusion of insurance risk and decision making, and d) state-dependent utility where the state can be spanned by the financial market. The various problems are discussed and solved, and the structures of solutions are understood as different patterns of consumption, investment, and insurance over the life cycle.

Learning outcome
Knowledge about classes of problems, solution methods, and classes of solutions within personal financial optimization.

Skills: At the end of the course the student is expected to be able to discuss in detail classes of problems, solution methods, and classes of solutions within personal financial optimization. The starting point is Merton's consumption-investment problem in continuos time and from there we generalise to state-dependent utility and applications of equilibrium theory.

Competencies: To give the student insight in classes of problems, solution methods, and classes of solutions within personal financial optimization.

Literature
See Absalon.

Teaching and learning methods
Lectures. The students get to see the course contents in regular lectures. Since the core content concern individual preferences and individual decision making, the students' preferences and decision making is discussed with the students during the lectures.

Lecturers
Jamier Londono

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