Seminar 217, Risk Management: Distributionally Robust Portfolio Selection and Estimation

Seminar 217, Risk Management: Distributionally Robust Portfolio Selection and Estimation

Risk Seminar
Apr 26, 2022, 11:00 AM - 12:30 PM | https://berkeley.zoom.us/j/91401525104?pwd=OGtrSmI3MXBLcWlJZE5nckx4Y0VZUT09 | Happening As Scheduled
Jose Blanchet, Stanford (Speaker - Featured)

Abstract: The focus of this talk is on decision-making rules that are designed to be min-max optimal. The decision-maker chooses a policy class (e.g. affine or even non-parametric classes) and chooses a member of the policy class by playing a (min-max) game against an adversary that chooses a probability distribution in a neighborhood of a baseline model. Both players want to optimize in opposite...