金融工程研究中心学术报告:The Optimal Payoff for a Yaari Investor

主讲人:布鲁塞尔自由大学  Steven Vanduffel 教授




Yaari's dual theory of choice under risk is the natural counterpart of expected utility theory. While optimal payoff choice for an expected utility maximizer is well studied in the literature, less is known about the optimal payofffor a Yaari investor. We perform a fairly general analysis and derive optimal payoffs in a variety of relevant cases. Specifically, we provide the optimal payoff for a Yaari investor under a variance constraint; thus, extending mean-variance optimization to distorted expectation-variance optimization. We also provide the optimal payoff for Yaari investors who aim to outperform an external benchmark.


Steven is a professor in Finance and Insurance at Solvay Business School (Brussels). My research topics pertain to the fields of insurance and financial mathematics/economics. He was awarded the Robert I. Mehr Award (2022), the Robert C. Witt Award (2018), the Redington Prize (2015), the PRMIA Award for new frontiers in Risk Management (2014), the Johan de Witt Prize (2012), the SCOR-EGRIE Young Economist Best Paper Award (2011), and the Lloyds Science of Risk Prize (2011). He is member of the editorial board of Astin Bulletin as well as an associate editor with European Actuarial Journal and Dependence Modeling.


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