【线上】Distributionally robust risk optimization under distorted Expectation
- A+
：毛甜甜
：2021-06-29 02:30
：腾讯会议ID：409 330 021（无密码设置）
报告人：毛甜甜（中国科学技术大学）
时 间：6月29日下午2:30
地 点：腾讯会议ID：409 330 021（无密码设置）
内容摘要:
In this paper, we propose to address a decision maker's risk attitude in Distributionally robust optimization (DRO) by following an alternative scheme known as "dual expected utility". We distinguish DRO based on distorted expectations by terming it "Distributionally Robust Risk Optimization'" (DRRO), and show that DRRO can be equally, if not more, tractable to solve than DRO based on utility functionals. Our tractability results hold for any distortion function, and hence our scheme provides more flexibility to capture more realistic forms of risk attitudes. We characterize the worst-case distributions and discuss their implications.
个人简介：
毛甜甜现为中国科学技术大学管理学院副教授。2012年博士毕业于中国科学技术大学后留校工作至今，主要研究领域为：风险度量，风险管理，极值理论和随机比较。目前已经在优化领域顶刊和数理金融领域顶刊Mathematical Programming，Mathematical Finance，Finance and Stochastics，SIAM Journal on Financial Mathematics等期刊发表论文三十余篇。曾荣获国际精算协会Bob Alting von Geusau 奖。
联系人：王文元
