Fundamental Relations in Risk Management: Theory and Case Studies

Event Details
  • Date/Time:
    • Tuesday November 10, 2009
      10:00 am - 11:00 am
  • Location: IC 209
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    $0.00
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Contact
Harry Sharp
Quantitative & Computational Finance Program (QCF)
Contact Harry Sharp
Summaries

Summary Sentence: Fundamental Relations in Risk Management: Theory and Case Studies

Full Summary: Fundamental Relations in Risk Management: Theory and Case Studies

TITLE: Fundamental Relations in Risk Management: Theory and Case Studies

SPEAKER: Stan Uryasev

ABSTRACT:

The paper defines fundamental quantities in uncertainty management: 1) Errors, 2) Risks, 3) Deviations, and 4) Regrets. We discuss relations between these quantities in axiomatic format.

We demonstrate several optimization case studies: regression problems with various error measures; portfolio optimization, sparse reconstruction, and optimal structuring of CDO. The case studies are conducted with Portfolio Safeguard by AORDA and IBM CPLEX.

Additional Information

In Campus Calendar
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Groups

H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Categories
Seminar/Lecture/Colloquium
Keywords
optimization
Status
  • Created By: Anita Race
  • Workflow Status: Draft
  • Created On: Feb 16, 2010 - 9:48am
  • Last Updated: Oct 7, 2016 - 9:50pm