一、报告题目
　　Optimal consumption and portfolio choice with ambiguous interest rate and volatility
　　二、报告人
　　林乾，武汉大学金融学助理教授，获法国西布列塔尼大学博士和山东大学博士，德国比勒费尔德大学博士后，已经在 Stochastic Processes and their Applications, Advanced in Applied Probabiltiy等杂志上发表论文数篇。研究方向为金融数学与金融工程，目前主要从事资产定价和投资组合方面的研究。
　　三、报告时间
　　2016年5月31日（周二）15:00-16:30
　　四、报告地点
　　中心校区知新楼B423聚贤报告厅
　　五、报告摘要
　　We study continuous–time consumption and portfolio choice in the presence of Knightian uncertainty. We embed the problem into the framework of G-Brownian motion dealing in particular with the issue of non–equivalent multiple priors. The problem is completely solved by identifying the worst–case measure. The decision about participation in the asset market does not depend on volatility uncertainty. Our setup also allows to consider interest rate ambiguity; we show that under some robust parameter constellations, the investor optimally puts all his wealth into risky assets.
　　六、主办单位
　　山东大学经济学院