报告人：姚经 教授（苏州大学）

时间：2025年03月28日 16:00-

地点：数统学院LD718

摘要：We study optimal payoff choice for an expected utility maximizer under the constraint that their payoff is not allowed to deviate “too much” from a given benchmark. We solve this problem when the deviation is assessed via a Bregman-Wasserstein (BW) divergence, generated by a convex function. The inherent asymmetry of the BW divergence makes it possible to penalize positive deviations different than negative ones. As a main contribution, we provide the optimal payoff in this setting. Numerical examples illustrate that the method allows to better align the payoff choice with the objectives of investors.

邀请人: 张志民

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