时间：2019年05月15日（星期三）10：00-11：00

地点：沙河校区，主教楼 503

报告题目： Higher-order Omega and itsdecision-theoretic foundation

报告人：毕洪伟，对外经济贸易大学保险学院副教授

报告摘要：This paper proposes a newperformance index referred to as the Nth-order Omega that includes thewell-known Omega as a special case. A decision-theoretic foundation for ourindex is established through introducing a new distribution ranking criterion.The index is monotonic with respect to Nth-degree stochastic dominance andoffers a complete ordering on gambles. An empirical example of deriving theoptimal hedge ratio is demonstrated to show the applicability of the index.

报告人简介：毕洪伟，北京师范大学数学科学学院博士，研究方向分枝过程与随机树，不确定性经济学。论文发表于Annalesde l'Institut Henri Poincaré, Probabilités et Statistiques，Electronic Journal of Probability, Journal of Banking and Finance,Operations Research Letters等期刊。

本次活动受中央财经大学2019专题学术讲座项目资助。