|
Topic : Risk
measures and corresponding optimization
problems (I), (II)
Speaker : Professor Alexander Schied
(Technical University Berlin, Germany)
Time
: March 31, 2004 (Wednesday)
(I) 11:00~12:15
(II) 13:30~14:45
Abstract:
A monetary measure of risk is defined as the minimal requirement that, if
added to a risky position, makes this position acceptable from the point of
view of a regulatory agency. In this lecture, we will review some recent
advances in the mathematical analysis of monetary measures of risk, with
special focus on law-invariant risk measures. In the first part, we will
discuss their axiomatic foundation and general structure theory. In the second
part, we will focus on optimization problems in the framework of a financial
market model, an example being the optimal design of a contingent claim.
Here, we study some of the effects that arise when
optimality criteria are formulated in terms of risk measures rather than in
terms of classical functionals such as the variance or expected utility.
|
|
Place :
|
Lecture
Room B,
National Center for
Theoretical Sciences
4th Floor, The 3rd General Building,
National Tsing Hua University,
Hsin Chu
|