Financial Engineering Seminar
February 23, 2007(Fri)
Time: 3:00 pm
Place: Weil Hall 307
The rst part of the talk discusses which representatives of coherent risk measures have the best properties from the economic viewpoint. In particular, I will describe several co- herent risks measures termed MINV@R, MAXV@R, MAXMINV@R, and MINMAXV@R. As an example, MINV@R is a risk measure of the form f(X) = - E{X1, ..., XN}, where N is a natural number and X1, ..., XN are independent draws of X. The second part of the talk deals with the question: which axioms a proper measure of trade performance should satisfy and what is the description of the corresponding performance measures? I will describe a new notion of a coherent acceptability index introduced in a recent paper with D. Madan.