Xiangyu Wang, Doctor, Shenzhen Weiyan Technology Co., Ltd

Benzhuo Lu, Professor

Minimal Quantile Functions Subject to Stochastic Dominance Constraints

10:00-11:00 November 29(Wednesday), Tencent Meeting 140-716-796

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。