Description
Back to topOver the past two decades significant progress has been made in developing a general framework for studying preference orders in an uncertain and dynamic environment, primarily with applications to risk management, economics, pricing and hedging, as well as stochastic optimal control. The theory and practice of assessment indices is an integral part of this general framework. At abstract level, an assessment index is a functional defined on the set of objects to be ordered that satisfies a set of minimal assumptions, such as monotonicity (better for better) and quasi-concavity (diversification is preferred to concentration). In particular, assessment indices can be used in rendering a trade-off between reward opportunities and risk of losses. Some of the key research directions in this area are: (a) finding analytically tractable descriptions of such classes of functionals; (b) establishing adequate description of intertemporal properties, also known as time (in)consistency in decision making.
The aim of this workshop is to bring together leading experts in the field of decision making, dynamic risk and performance measures to exchange latest developments in these research areas, discuss open problems and challenges in solving them, as well as to foster collaborations between participants and their collaborators.
Organizers
Back to topSpeakers
Back to topSchedule
Back to topSpeaker: Samuel Cohen (University of Oxford)
Speaker: Giulia Di Nunno (University of Oslo)
Speaker: Dilip Madan (University of Maryland)
Speaker: Stephane Crepey (Université de Paris)
Speaker: Marcin Pitera (Jagiellonian University)
Speaker: Thilo Meyer-Brandis (Ludwig Maximilian University of Munich)
Speaker: Marco Frittelli (Università degli Studi di Milano)
Speaker: Gero Junike (Carl von Ossietzky University of Oldenburg)
Speaker: Ruodu Wang (University of Waterloo)
Speaker: Birgit Rudloff (Vienna University of Economics and Business)
Speaker: Rüdiger Frey (Vienna University of Economics and Business)
Speaker: Gabriela Kovacova (Vienna University of Economics and Business)
Speaker: Zachary Feinstein (Stevens Institute of Technology)
Speaker: Emanuela Rosazza Gianin (Università degli Studi di Milano-Bicocca)
Speaker: Delia Coculescu (Universität Zürich)
Speaker: Tao Chen (University of Michigan)
Speaker: Alexander Shapiro (Georgia Institute of Technology)
Speaker: Andrzej Ruszczyński (Rutgers University)
Speaker: Igor Cialenco (llinois Institute of Technology)
Speaker: Darinka Dentcheva (Stevens Institute of Technology)
Speaker: Ziteng Cheng (University of Toronto)
Videos
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Identifiability in inverse reinforcement learning
Samuel Cohen
May 9, 2022
Fully-dynamic risk measures: time-consistency, horizon risk, and relations with BSDEs and BSVIEs
Giulia Di Nunno
May 9, 2022
High Dimensional Markovian Trading of a Single Stock
Dilip Madan
May 9, 2022
Learning from defaults
Stephane Crepey
May 9, 2022
Entropy as performance measure: long-run risk sensitive stochastic control in discrete time
Marcin Pitera
May 9, 2022
Fair Systemic Risk Measures and Systemic Optimal Risk Transfer Equilibria
Thilo Meyer-Brandis
May 10, 2022
Systemic risk measures: conditional and robust features
Marco Frittelli
May 10, 2022
American and exotic options in a market with frictions
Gero Junike
May 10, 2022
E-backtesting risk measures
Ruodu Wang
May 10, 2022
Epic Math Battles: Nash vs. Pareto
Birgit Rudloff
May 11, 2022
Convex measures of model risk for option hedging and nonlinear Black Scholes equations
Rüdiger Frey
May 11, 2022
Time consistency and set-valued Bellman’s principle: evidence from mean-risk problem and acceptability maximization
Gabriela Kovacova
May 11, 2022
Time Consistency of Scalar Multivariate Risk Measures and the Moving Scalarization
Zachary Feinstein
May 11, 2022
New perspective to capital allocation rules in a dynamic setting
Emanuela Rosazza Gianin
May 12, 2022
On the benefits of risk sharing
Delia Coculescu
May 12, 2022
Market Making and Derivative Pricing via Dynamic Conic Finance
Tao Chen
May 12, 2022
Risk averse and distributionally robust modeling of multistage stochastic programs
Alexander Shapiro
May 12, 2022
Risk-Averse Learning by Temporal Difference Methods with Markov Risk Measures
Andrzej Ruszczyński
May 13, 2022
Dynamic acceptability indices generated by distortion functions
Igor Cialenco
May 13, 2022
Stability and Sample-based Approximations of Composite Stochastic Optimization Problems
Darinka Dentcheva
May 13, 2022
Markov decision processes with Kusuoka-type conditional risk mappings
Ziteng Cheng
May 13, 2022