NMAK22001U Consumption-Investment Problems
MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics
We consider personal financial optimization in the course by looking at different consumption-investment problems.
We formulate modern investor preferences and derive optimal consumption, investment and insurance strategies for different preferences, such as classical constant relative risk aversion, the inclusion of state dependency, and state versus risk preferences.
The various problems are discussed, and the structures of solutions are understood as different patterns of consumption, investment, and insurance over the life cycle.
Knowledge: About dynamic optimization problems concerning consumption, investment and insurance decision-making.
Competences: Confidence in formulation and solution of stochastic control problems. Insight into problems and corresponding solutions within personal finance optimization. Ability to read original papers in finance and actuarial journals.
Skills: At the end of the course, the student is expected to be able to formalize, discuss and solve problems within personal financial optimization. The starting point is Merton's consumption-investment problem in continuous time and from there we generalise to state-dependent utility and applications of equilibrium theory.
Continuous feedback during the course of the semester is given during discussions about the students' preferences and decision making.
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- 7,5 ECTS
- Type of assessment
- Oral examination, 30 minutes
- Type of assessment details
- Without preparation time
- Without aids
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
Several internal examiners
As the ordinary exam
Criteria for exam assesment
The student should convincingly and accurately demonstrate the knowledge, skills and competences described under Intended learning outcome.
- Course code
- 7,5 ECTS
- Full Degree Master
- 1 block
- Block 1
- Course capacity
- The number of seats may be reduced in the late registration period
- Study Board of Mathematics and Computer Science
- Department of Mathematical Sciences
- Faculty of Science
- Julie Bjørner Søe (2-79824f7c7083773d7a843d737a)