AQFC2015

[SEEM5202 Seminar Announcement] (Friday, January 22, 2016, 4:30pm - 5:30pm)

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                Department of Systems Engineering and Engineering Management
                             The Chinese University of Hong Kong

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Date: 4:30pm - 5:30pm, January 22 (Friday), 2016

Title: Processing Consistency in Non-Bayesian Inference

Speaker: Professor Xuedong He, Department of Systems Engineering and Engineering Management, CUHK

Abstract:
We propose a coherent inference model that is obtained by distorting the prior density in Bayes' rule and replacing the likelihood
with a so-called pseudo-likelihood. This model includes the existing non-Bayesian inference models as special cases and implies new
models of base-rate neglect and conservatism. We prove a sufficient and necessary condition under which the coherent inference model
is processing consistent, i.e., implies the same posterior density however the samples are grouped and processed retrospectively. We
further show that processing consistency does not imply Bayes' rule by proving a sufficient and necessary condition under which the
coherent inference model can be obtained by applying Bayes' rule to a false stochastic model. This is a joint work with Di Xiao.

Biography:
Xuedong He received the B.Sc. degree in Mathematics and Applied Mathematics from Peking University in 2005 and the Ph.D. degree in
Mathematical Finance from the University of Oxford in 2009. He has been an Assistant Professor at Columbia University since 2009 and
will join the Chinese University of Hong Kong as an associate professor in 2016.

Xuedong He's research interests include portfolio selection and asset pricing in behavioral finance and risk management. He has
published papers in leading journals such as Management Science, Mathematical Finance, and Mathematics of Operations Research. He is
serving as Associate Editor for Operations Research. He also organized clusters and sessions in international conferences such as
the INFORMS Annual Meetings 2012--2014 and the SIAM Financial Mathematics and Engineering Conference 2014.

Everyone is welcome to attend the talk!

Venue: Room 513,
      William M.W. Mong Engineering Building (ERB),
      (Engineering Building Complex Phase 2)
      The Chinese University of Hong Kong.

The talk will be hosted by:
Prof. Nan Chen,
Department of Systems Engineering and Engineering Management,
The Chinese University of Hong Kong,
E-mail: nchen@se.cuhk.edu.hk
Homepage: http://www1.se.cuhk.edu.hk/~nchenweb/

SEEM-5202 Website: http://seminar.se.cuhk.edu.hk
Email: seem5202@se.cuhk.edu.hk
 



 

 

 

 

 

Date: 
Friday, January 22, 2016 - 08:30 to 09:30