报告题目：Benchmark Stochastic Dominance: Ranking Risk Prospects under Imprecise Preferences
报告人：赵琳 西南财经大学
报告时间：2022年11月9日(周三) 16:00-17:30
讲座地点：中国科学院大学中关村校区教学楼S406；
腾讯会议ID：337 514 023
内容摘要
Utility function and stochastic dominance are two fundamental devices in ranking risk prospects. The former evaluates prospects with a cardinal function, while the latter examines if one prospect could be preferred by all decision makers sharing certain qualitative properties. Each approach has its pros and cons: utility function delivers a complete order, but is sensitive to the functional specification; stochastic dominance is more robust, but is often found too partial to apply. Towards a balance, we employ a utility function as a benchmark, and meanwhile allow preferences to deviate from the benchmark to a prespecified extent. The resulting set of preferences is broader than a single specification but narrower than what underlies traditional stochastic dominance. The consensus of these preferences in ranking prospects, termed as benchmark stochastic dominance, combines the relative advantages of utility function and traditional stochastic dominance. We provide distribution conditions of the new criterion, demonstrate its relationships with existing variants of stochastic dominance, and illustrate its implementation with an empirical investigation of the attractiveness of bonds versus stocks.
主讲人简介
赵琳，西南财经大学光华杰出学者计划特聘教授，四川省天府峨眉计划创新领军人才。研究方向包括行为管理、运营管理、风险管理。主持国家杰出青年科学基金项目、国家自然科学基金重点项目子课题、电商平台合作研发项目等。在Management Science、Review of Corporate Finance Studies、Journal of Risk and Insurance等国际期刊上发表三十余篇学术论文。担任Management Science编委、Financial Innovation执行编辑、Decision Sciences签约审稿人。
