Title: Risk measures and time consistency
Speaker: Prof. Alexander Shapiro
Affiliation: School of Industrial and Systems Engineering – Georgia Institute of Technology
Location: Room 145 Huxley Building
Time: 2:00pm
Abstract. In this talk we discuss basic theory of risk measures and risk averse optimization. Starting with the pioneering paper by Artzner et al, “Coherent measures of risk” (1999), this theory went through rapid development in recent years. We pay a special attention to a multistage setting, and, in particular, discuss the involved concepts of time consistency.
About the speaker. Alexander Shapiro is a Professor in the School of Industrial and Systems Engineering at Georgia Institute of Technology. He has published more than 120 research articles in peer reviewed journals and is a coauthor of several books (see below).
His research is widely cited and he was listed as an ISI Highly Cited Researcher in 2004 (ISI = Institute for Scientic Information), links to his research ID: http://www2.isye.gatech.edu/~ashapiro/research.html. He is on the editorial board of several professional journals, such as Mathematics of Operations Research, ESAIM: Control, Optimization and Calculus of Variations, Computational Management Science. He was an area editor (Optimization) of Operations Research, currently he is the Editor-in Chief of the Mathematical Programming journal. He gave numerous invited keynote and plenary talks, including invited section talk (section Control Theory & Optimization) at the International Congress of Mathematicians 2010, Hyderabad, India http://www.icm2010.in/scientific-program/invited-speakers.
Published Books:
1. Rubinstein, R.Y. and Shapiro, A., Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method, John Wiley and Sons, New York, 1993.
2. Bonnans, J. F. and Shapiro, A., Perturbation Analysis of Optimization Problems, Springer, New York, 2000.
3. Handbook on Stochastic Programming, edited by: A. Ruszczynski and A. Shapiro, North-Holland Publishing Company, Amsterdam, 2003.
4. Shapiro, A., Dentcheva, D. and Ruszczynski, A., Lectures on Stochastic Programming: Modeling and Theory , SIAM, Philadelphia, 2009.