光华讲坛——社会名流与企业家论坛第４４２１期

主 题：Turnpike Property for an Investment and Consumption Model

主讲人：英国帝国理工学院 Harry Zheng教授

主持人：经济数学学院 向开理教授

时 间：2017年3月31日（星期五）下午4:00

地 点：通博楼B412

主办单位：经济数学学院 科研处

主讲人简介：

Harry Zheng，英国帝国理工学院教授，Professor Zheng从事随机控制、金融数学领域研究，在Mathematics of Operations Research, SIAM Journal on Control and Optimization, Finance and Stochastics, SIAM Journal on Financial Mathematics, Journal of Economic Dynamics and Control, Quantitative Finance等top期刊（SCI或SSCI）发表数十篇论文。

内容提要：

It is well known that the optimal portfolio strategy for optimal investment problems can be approximated by a wealth and time independent strategy if the planning horizon is distant and the utility of the terminal wealth behaves asymptotically like a power utility. This is called the turnpike property for investment. There is little literature on the turnpike property for optimal investment and consumption problems. In this paper we discuss the turnpike property for general utilities and the convergence rate of the approximation of optimal strategies. We find there exists a threshold value for the turnpike property of investment to hold and the threshold value only depends on the Sharpe ratio, the riskless interest rate and the discount rate, but not utility functions. There is no turnpike property for consumption in general. If consumption utility is power utility, then the turnpike property for investment always holds except for one special case (joint work with Baojun Bian).