Seminar 217, Risk Management: Portfolio selection: Capital at risk minimization under correlation constraint

Seminar 217, Risk Management: Portfolio selection: Capital at risk minimization under correlation constraint

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Nov 8, 2016, 11:00 AM - 01:00 PM | 639 Evans Hall | Happening As Scheduled
Speaker: Farzad Pourbabaee, UC Berkeley (Speaker - Featured)
Abstract: We studied the portfolio optimization problem in the Black-Scholes setup, subject to certain constraints. Capital at risk (CaR) has turned out to resolve many of the shortcomings of the Value at risk, hence is taken in this presentation as the objective of the optimization problem.