时 间：2025年4月18日（周五） 13：30 – 14：30
地 点：普陀校区理科大楼A1414室
报告人：姚经 苏州大学教授
主持人：危佳钦 华东师范大学教授
摘 要：
In this talk, we shall introduce some recent works on the distributionally robust optimization of our research group. In particular, we shall primarily focus on an “optimal payoff choice” problem under the Bregman-Wasserstain divergence constraint, where we explicitly find out optimal payoff choice for an expected utility maximizer under the constraint that their payoff is not allowed to de- viate “too much” from a given benchmark. The deviation is assessed via a Bregman-Wasserstein (BW) divergence, generated by a convex function 𝜙. Unlike the Wasserstein distance (i.e., when 𝜙(𝑥) = 𝑥2). The inherent asymmetry of the BW divergence makes it possible to penalize positive deviations different than negative ones. Numerical examples illustrate that the choice of 𝜙 allow to better align the payoff choice with the objectives of investors.
报告人简介：
姚经, 应用经济学博士。教育部海外引才计划专家，江苏省特聘教授，重庆市“巴渝学者”讲座教授。现任苏州大学特聘教授，金融工程研究中心副主任，兼任以色列海法大学精算研究中心研究员。主要研究方向包括量化金融风险管理，衍生品定价，最优投资策略和资产配置，风险相依性和系统性风险，绿色金融等