Event Date:
Monday, October 25, 2010 - 3:30pm to 5:00pm
Event Date Details:
Refreshments served at 3:15 PM
Event Location:
- South Hall 5607F
Prof. Marco Frittelli (Math. Dept., Milano Univ., visiting PSTAT-CRFMS/UCSB)
Title: On quasiconvex dynamic risk measures
Abstract: We introduce conditional quasiconvex risk measures and provide their dual representation. This generalizes the representation of quasiconvex real valued risk measures and of conditional convex risk measures. These results are applied in the study of the theory of dynamic risk measures and of performance indices.
May 2, 2017 - 3:04pm