Intertemporal cost-efficient consumption by Mauricio Elizalde (Autonomous University of Madrid, Spain)

Event Date: 

Monday, February 28, 2022 - 3:30pm to 4:30pm

Event Location: 

  • Virtual via zoom
Intertemporal cost-efficient consumption
Our aim is to provide an intertemporal cost-efficient consumption, an extension of the optimization of consumption inspired by the Distribution Builder, which is a tool developed by Sharpe, Johnson, and Goldstein to recover the investor’s risk preferences from choosing the desired distribution of the terminal wealth given their budget constraint. This framework contrasts with classical portfolio optimization, which takes into account the risk aversion of the agent modeled by utility functions that are hard to measure in practice. This is a joint work with Stephan Sturm.