Seminar: Risk measures and time consistency
Title: Risk measures and time consistencySpeaker: Prof. Alexander ShapiroAffiliation: School of Industrial and Systems Engineering - Georgia Institute of TechnologyLocation: Room 145 Huxley BuildingTime: 2:00pmAbstract. 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... Read more »