On behalf of the Scientific Committee of the de Finetti
Risk Seminars, we are glad to invite you to participate at the following
Lecture
David Hobson
University of Warwick
TITLE: Optimal stopping, time
inconsistency and naive agents
ABSTRACT:
Many problems from finance and economics can be cast
as optimal stopping problems. In the classical framework when we
model agents as maximisers of expected utility the optimal stopping
rule is a threshold rule. But what happens if we move beyond the
standard setting?
We discuss some examples from cautious stochastic utility and
prospect theory. Then the problems become time-inconsistent and
we must discuss how agents respond to time inconsistency.
LOCATION:
The seminar will be held on Wednesday, Januar 17,
at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via
C. Saldini 50, Milano.
A refreshment
will be offered at 17.30.
Scientific
Committee
Prof. Simone Cerreia-Voglio (Univ.
Bocconi)
Prof. Marco Frittelli (Univ.
degli Studi di Milano)
Prof. Fabio
Maccheroni (Univ. Bocconi)
Prof. Massimo
Marinacci (Univ. Bocconi)
Prof. Emanuela
Rosazza Gianin (Univ. Milano-Bicocca)
Dott. Marco Maggis (Univ. degli Studi di
Milano)
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Emanuela
Rosazza Gianin
Dipartimento di Statistica e Metodi Quantitativi
Università di Milano-Bicocca
Edificio U7 – 4° Piano
Via Bicocca degli
Arcimboldi, 8
20126 Milano
Tel. 02 64483208
Fax. 02
64483105
e-mail:
emanuela.rosazza1@unimib.it
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