金融工程研究中心学术报告:The Optimal Payoff for a Yaari Investor

主讲人:布鲁塞尔自由大学  Steven Vanduffel 教授

  间:2022122日(星期五)下午16:30--17:30

  点:腾讯会议957-854-494.

报告摘要:

Yaari's dual theory of choice under risk is the natural counterpart of expected utility theory. While optimal payoff choice for an expected utility maximizer is well studied in the literature, less is known about the optimal payofffor a Yaari investor. We perform a fairly general analysis and derive optimal payoffs in a variety of relevant cases. Specifically, we provide the optimal payoff for a Yaari investor under a variance constraint; thus, extending mean-variance optimization to distorted expectation-variance optimization. We also provide the optimal payoff for Yaari investors who aim to outperform an external benchmark.

主讲人简介:

Steven is a professor in Finance and Insurance at Solvay Business School (Brussels). My research topics pertain to the fields of insurance and financial mathematics/economics. He was awarded the Robert I. Mehr Award (2022), the Robert C. Witt Award (2018), the Redington Prize (2015), the PRMIA Award for new frontiers in Risk Management (2014), the Johan de Witt Prize (2012), the SCOR-EGRIE Young Economist Best Paper Award (2011), and the Lloyds Science of Risk Prize (2011). He is member of the editorial board of Astin Bulletin as well as an associate editor with European Actuarial Journal and Dependence Modeling.

 


(苏州大学金融工程研究中心)
苏大概况 教育教学
院部设置 科学研究
组织机构 合作交流
招生就业 公共服务
版权所有©苏州大学

地址:江苏省苏州市姑苏区十梓街1号

苏ICP备10229414号-1
苏公网安备 32050802010530号
推荐使用IE8.0以上浏览器,1440*900以上分辨率访问本网站