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

Risk Seminar
Feb 12, 2019 11:00am to 12:30pm
Location: 
1011 Evans Hall
Status: 
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)