Seminar 217, Risk Management: Computation of Optimal Conditional Expected Drawdown Portfolios

Risk Seminar
Feb 12, 2019 11:00am to 12:30pm
1011 Evans Hall
Happening As Scheduled
We introduce two approaches to computing and minimizing the risk measure Conditional Expected Drawdown (CED) of Goldberg and Mahmoud (2016). One approach is based on a continuous-time formulation yielding a partial differential equation (PDE) solution to computing and minimizing CED while another is a sampling based approach utilizing a linear program (LP) for minimizing CED.
Speakers: Alex Papanicolaou, Intelligent Financial Machines (Speaker - Featured)