时 间：2020年12月7日(周一)晚19:00-20:00
地 点：腾讯会议 ID：647 178 489
题 目：Linking risk management under expected shortfall to loss-averse behavior
主讲人：陈安 德国乌尔姆大学教授
摘 要：
We introduce and solve an optimal asset allocation problem under a weighted expected shortfall (WES) constraint, which contains the risk management problem under an expected shortfall constraint of \cite{BasakShapiro2001} as a special case. Furthermore, we link our risk management problem under the WES constraint with an optimal asset allocation with a multiple-reference-based preference (MRBP) and find that the optimal wealth with MRBP owns the same form as the optimal solution under the WES constraint. For the degenerate case with a fixed reference level, we are able to determine the critical maximal allowed expected shortfall constraint as a function of the loss aversion parameters to achieve equivalence. It is interesting to observe that, while no equivalence can be in general obtained between the WES and the MRBP solution, the optimal terminal wealth of the WES can be made to coincide with the MRBP terminal wealth in the most favorable and in the worst market states. In addition, we carry out a general equilibrium analysis in the presence of a WES/MRBP risk manager.
主讲人简介：
陈安教授是德国乌尔姆大学数学与经济学院教授，博导，德国保险与金融数学学会（DGVFM）理事，国际精算协会（IAA）期刊ASTIN-Bulletin联合主编。陈安教授长期从事养老金，最优资产配置，金融与保险中的风险管理，及衍生品定价等多个领域的教学和研究工作。在European Journal of Operational Research，Journal of Economic Theory, Journal of Banking and Finance, Insurance: Mathematics and Economics等期刊中发表论文40余篇，主持多项国家级项目。从教十多年来，陈安教授秉持“授人以渔”的教学方式，辛勤耕耘，为保险、精算界输送了大量优秀人才。