Hyeng Keun Koo
Draft — November 2026. Incomplete; comments welcome.
Dynamic portfolio choice asks how wealth can support spending over time. These lecture notes develop the economic ideas and mathematical methods for studying joint consumption and investment decisions, with an emphasis on sustainable living standards and computational implementation.
Foundations: preferences, life-cycle planning, Samuelson and Merton models, and stochastic investment opportunities.
Classical methods: the stochastic maximum principle, martingale methods, and convex duality.
Consumption and risk sharing: ratcheting, intertemporal loss aversion, adjustable consumption bounds, and consumption capability.
Computation and extensions: numerical and machine learning methods, labor income, and retirement.
Begin with the foundations and analytical benchmarks, then proceed to consumption models and computation. The notes include exercises and concise solutions.
Historical simulations are retrospective research illustrations. Numerical examples and research directions should be read together with the assumptions and reproducibility notes in the document.
Graduate students and researchers in financial economics, mathematical finance, stochastic control, and computational finance.