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学术活动
Minimal Quantile Functions Subject to Stochastic Dominance Constraints
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报告人:
Xiangyu Wang, Doctor, Shenzhen Weiyan Technology Co., Ltd
邀请人:
Benzhuo Lu, Professor
题目:
Minimal Quantile Functions Subject to Stochastic Dominance Constraints
时间地点:
10:00-11:00 November 29(Wednesday), Tencent Meeting 140-716-796
摘要:

We consider a problem of finding an SSD (second-order stochastic dominance)-minimal quantile function subject to the mixture of FSD (first-order stochastic dominance) and SSD constraints. The SSD-minimal solution is explicitly worked out and has a close relation to the Skorokhod problem. This result is then applied to explicitly solve a risk minimizing problem in financial economics.

报告人简介: 王翔宇,现为深圳微言科技有限责任公司高级数据科学家。2019年博士毕业于中国科学院数学与系统科学研究院应用数学研究所。2018年曾获京津冀青年概率统计研讨会优秀论文奖,研究方向为金融数学,相关研究成果发表在SIAM J. Finan. Math等国际数学期刊。