Dynamic Acceptability Indices

Tao Chen
Title: Dynamic Acceptability Indices
Mr. Tao Chen will discuss the relationship between risk measures and g-expectations. He will also present examples of risk measures driven by g-expectation.

Yu-Sin Chang
Title: Systemic Risk
Ms. Yu-Sin Chang will finish the illustration on systemic risk and discuss some problems regarding expanding it to large numbers.

Marcin Pitera
Title: Multiperiod Portfolio Optimization
Mr. Marcin Pitera will continue the topic of the existence and uniqueness of the solution. He will also show that computations could be simplified into single-period problems and computed recursively

Event Topic

Mathematical Finance, Stochastic Analysis, and Machine Learning