Dynamic Acceptability Indices
Systemic Risk
Description
Tao Chen
Title: Dynamic Acceptability Indices
Mr. Tao Chen will study the properties of distorted Levy process and try to apply it to acceptability index.
Yu-Sin Chang
Title: Systemic Risk
Mr. Tao Chen will study the properties of distorted Levy process and try to apply it to acceptability index.
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