讲座题目：Neyman--Pearson Lemma for convex risk measures
网络地址：腾讯会议410 805 593
主讲人简介：嵇少林，山东大学金融研究院常务副院长、教授、博士生导师。1971年12月生人，1999年获得博士学位，2011年入选度教育部新世纪优秀人才支持计划，主持国家自然科学基金面上项目4项，研究领域为机器学习、金融数学、金融经济学、随机优化和非线性期望理论。
内容摘要：We study the Neyman-Pearsontheory for convex risk measures on L∞(μ). Without assuming that the level sets ofpenalty functions are weakly compact, a fixed representative pair (P∗,Q∗) is found by a newmethod different from the convex duality method. Then we show that the optimal testsare just the classical Neyman-Pearson tests between the representative probabilitiesP∗ and Q∗. Finally, we apply our results to a shortfall risk minimizingproblem in an incomplete financial market.
讲座主持：闫理坦教授
