Generalized Deviations are Counterparts to Risk Measures
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Date: 04-03-2007
Start Time:
1:00pm
End Time: 2:00pm
Speaker: Stanislav Uryasev, University of Florida
Location: Mudd 303
ABSTRACT
Dr. Uryasev's IEOR-DRO presentation will delve into the following topics:
· Generalized Deviations versus Risk Measures
· Coherent Deviations
· Portfolio Optimization with Generalized Deviations
· Optimal Portfolio Policies with Multiple Deviations
· Betas for Optimal Portfolios
· Market Equilibrium with Investors Having Different Deviations
· Statistics with Generalized Deviations
BIO
Stan Uryasev, a professor at the University of Florida, is director of the Risk Management and Financial Engineering Lab. His research is focused on the development of efficient computer modeling and optimization techniques and their applications in finance and military projects, including: 1) Risk management 2) Portfolio optimization; 3) Asset and Liability modeling; and 4) Optimal trading strategies. Published three books (monograph and two edited volumes) and about seventy research papers.