Colloquium-Zachary Feinstein (Princeton University)-Applications of Set Optimization to Finance

Mathematics - Colloquium

Thursday, February 27, 2014
11:00 AM-12:00 PM

Stratton Hall
203

ABSTRACT: Set optimization is a generalization of vector optimization which can be formulated in a complete lattice. In financial risk measurement, set optimization problems arise when capital requirements can be made in a basket of currencies or assets. In this presentations, we will cover the definition of multivariate risk measures as well as primal and dual representations. Additionally, we will discuss, in a dynamic framework, the relation of multivariate risk measures through time and an algorithm for computing these risk measures. Further applications to systemic risk measurement will also be given.

Suggested Audiences: Adult, College

E-mail: ma-chair@wpi.edu

Last Modified: February 18, 2014 at 2:38 PM