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Risk-Averse Learning by Temporal Difference Methods with Markov Risk Measures
Presenter
- Andrzej Ruszczyński
May 13, 2022
IMSI
Dynamic acceptability indices generated by distortion functions
Presenter
- Igor Cialenco
May 13, 2022
IMSI
Stability and Sample-based Approximations of Composite Stochastic Optimization Problems
Presenter
- Darinka Dentcheva
May 13, 2022
IMSI
Markov decision processes with Kusuoka-type conditional risk mappings
Presenter
- Ziteng Cheng
May 13, 2022
IMSI
New perspective to capital allocation rules in a dynamic setting
Presenter
- Emanuela Rosazza Gianin
May 12, 2022
IMSI
Risk averse and distributionally robust modeling of multistage stochastic programs
Presenter
- Alexander Shapiro
May 12, 2022
IMSI
Convex measures of model risk for option hedging and nonlinear Black Scholes equations
Presenter
- Rüdiger Frey
May 11, 2022
IMSI
Time consistency and set-valued Bellman’s principle: evidence from mean-risk problem and acceptability maximization
Presenter
- Gabriela Kovacova
May 11, 2022
IMSI
Time Consistency of Scalar Multivariate Risk Measures and the Moving Scalarization
Presenter
- Zachary Feinstein
May 11, 2022
IMSI