Fundamental Relations in Risk Management: Theory and Case Studies

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Event Details
  • Date/Time:
    • Tuesday November 10, 2009 - Wednesday November 11, 2009
      10:00 am - 10:59 am
  • Location: IC 209
  • Phone:
  • URL:
  • Email:
  • Fee(s):
    $0.00
  • Extras:
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
No
Groups

School of Industrial and Systems Engineering (ISYE)

Invited Audience
No audiences were selected.
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