时 间：2022年11月14日（周一）17：00-19：00
地 点：线上，腾讯会议：980-486-056
主 题：Non-concave optimization under risk constraints（风险约束下的非凹优化）
主讲人：陈安 德国乌尔姆大学教授
主持人：钱林义教授
主 办：经济与管理学部、华东师范大学中国经济研究中心
摘 要：
The paper studies a non-concave optimization problem arising from a managerial board maximizing the expected utility of the surplus of a financial company under four prevalent risk-based regulatory constraints (Expected Shortfall, Expected Discounted Shortfall, Value-at-Risk, and Average Value-at-Risk). We obtain analytical solutions to all four problems in the form of optimal terminal wealth. Curiously, the four various risk constraints all lead to the same optimal solutions, which differs from the conclusion in traditional concave utility maximization problems under risk constraints. Compared with the benchmark (unconstrained) non-concave utility maximization problem, all the four risk constraints effectively and equivalently reduce the set of zero terminal wealth, but do not fully eliminate this set, demonstrating the success and failure of the respective financial regulations.
报告人简介：
陈安教授，德国乌尔姆大学保险科学研究所首席教授，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《Journal of Economic Theory》, 《Journal of Banking and Finance》, 《European Journal of Operational Research》, 《Insurance: Mathematics and Economics》等期刊中发表论文50余篇，主持多项国家级项目。