Instructor: Professor Yulei Luo

Yulei Luo - HKU Business School

Reading list：see attachment

Attendance：Master/PhD student

Venue: B336, Zhixin Building, Central Campus

Content:

June 12 8:00-10:00am

1)Continuous-time stochastic Bellman equation

2)Applications: The Merton model with consumption and portfolio choice; The Caballero model with precautionary savings, and the investment model with convex adjustment costs.

June 13 8:00-10:00am

3) Continuous-time stochastic impulse control

4) Applications: consumer durables adjustment and investment with fixed costs.