Financial Engineering Seminar
September, 16, 2005(Fri)
Time: 1:55 pm,
Place: 303 Weil Hall (conference room)
Introduction to Risk-Averse Optimization
We shall discuss several methods for modeling risk aversion
in stochastic optimization. Particular attention will be given
to mean-risk models, general risk functionals, and modeling
via benchamark outcomes. For all these models we shall
develop optimality conditions, and discuss specialized
numerical methods. The results will be illustrated with a portfolio
optimization problem of large dimension.