报告题目: Risk and Risk Measures in Cumulative Prospect Theory: A Stochastic Dominance Approach

报告人:Zhan Pang, Professor, Krannert School of Management, Purdue University；Qiulin Yang, Assistant Professor, Southern University of Science and Technology

报告时间：2019年6月21日（周五）15:30

报告地点：中国科学院大学中关村校区青年公寓6号楼三层H309教室

报告语言：中文

报告摘要:Cumulative Prospect Theory (CPT) provides an alternative paradigm challenging the expected utility theorem (EUT) paradigm in the analysis of decision making under risk.  In the EUT   paradigm, it is known that the downside risk measures value-at-risk (VaR) and conditional value-at-risk (CVaR) that focus on upper tails of loss distributions are associated with risk aversion through stochastic dominance, which in turn provides behavior foundation for these risk measures. In the CPT paradigm, the decision criterion of Prospect Stochastic Dominance (PSD) has been developed to characterize unanimous choices made by decision makers with S-shaped value functions.   However, what is the risk measure implied by risky choice behavior of CPT decision makers, or, equivalently, PSD? To address this question, we first associate the risk measure range value-at-risk (RVaR) with S-shaped value functions through stochastic dominance. We then incorporate probability weighting functions to provide a theoretic account for VaR, CVaR and RVaR for decision makers with CPT preferences. We also provide comparative statics under CPT with respect to increases in risk measure with an application to portfolio choice problems.

报告人简介:

Professor Pang is an associate professor in supply chain and operations management at Krannert School of Management. Prior to Purdue, he was a faculty member of City University of Hong Kong and Lancaster University while holding an adjunct position at Norweigian School of Economics (NHH). His research interests include decision analysis under risk and uncertainty, supply chain and service operations, pricing and revenue management and healthcare operations management. His publications have appeared in Operations Research, Production and Operations Management, Manufacturing and Service Operations Management, IEEE Transactions on Automatic Control, Applied Energy, etc. He is a senior editor of Production and Operations Management.He has rich industrial experience. He has consulted extensively for various companies across the world, including Astra Zeneca, Shop Direct Group (UK), Pentland and HNA Qianhai Supply Chain, etc. He was also a continuous entrepreneur and management consultant.  He is current serving the board of directors of China Titans Energy Technology (HKEx 2188). 

Qiulin Yang is an Assistant Professor at Southern University of Science and Technology. She obtained bachelor from University of Oxford, and Ph.D degree from Lancaster University in 2019. Her main research interests include decision analysis, risk analysis, risk management, behavioral economics and pricing.