Seminar
Department of Systems Engineering and Engineering Management
The Chinese University of Hong Kong
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Title |
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Generalized Deviations are Counterparts to Risk Measures |
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Speaker |
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Prof. Stan Uryasev |
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Department of Industrial and Systems Engineering |
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University of Florida |
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Date |
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June 13th, 2008 (Friday) |
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Time |
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4:30 p.m. - 5:30 p.m. |
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Venue |
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Room 513 |
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William M.W. Mong Engineering Building |
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(Engineering Building Complex Phase 2) |
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CUHK |
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Abstract:
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The paper discusses theoretical and practical issues of risk management with tail risk measures such as VaR, CVaR, and Default Probability. We will address the following topics:
1. Generalized Deviations versus Risk Measures
2. Coherent Deviations
3. Portfolio Optimization with Generalized Deviations
4. Optimal Portfolio Policies with Multiple Deviations
5. Betas for Optimal Portfolios
6. Market Equilibrium with Investors Having Different Deviations
7. Statistics with Generalized Deviations
We will demonstrate with several case studies the risk management/optimization package Portfolio Safeguard by AOrDa.com.
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Biography:
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Professor Stan Uryasev is director of the Risk Management and Financial Engineering Lab and director of the PhD Program with Concentration in Quantitative Finance at the University of Florida. His research is focused on efficient computer modeling and optimization techniques and their applications in finance and military projects. He published three books (monograph and two edited volumes) and about eighty research papers. He is a co-inventor of the Conditional Value-at-Risk and the Conditional Drawdown-at-Risk optimization methodologies. He is the founder of American Optimal Decisions (AOrDa.com) developing optimization software in risk management area: VaR, CVaR, Default Probability, Drawdown, Credit Risk minimization.
Stan Uryasev is a frequent speaker at academic and professional conferences. He has delivered seminars on the topics of risk management and stochastic optimization. He is on the editorial board of a number of research journals and is editor-in-chief of the Journal of Risk.
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