New results for value at risk and conditional value at risk
讲座名称：
New results for value at risk and conditional value at risk
讲座时间：
2010-10-18
讲座人：
李玉喜
形式：
校区：
兴庆校区
实践学分：
讲座内容：
题 目：New results for value at risk and conditional value at risk
时 间：2010年10月18日（星期一）上午10:30- 11:30
地 点：西安交通大学管理学院313会议室
报告摘要
In this talk, I will introduce two important risk measures in finance: value at risk (VaR) and conditional value at risk (CVaR). I will also present results from our recent work on calculating worst-case VaR and worst-case CVaR, for example, in portfolio selection, so that we can handle such risk measures with rough knowledge of the underlying random variables, in particular, knowing only the mean and covariance matrix, but not the distribution form. It will be interesting for people in research areas like quantitative finance, stochastic programming and decision making.
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