Date/Time
Date(s) - June 22, 2023
10:40 am - 11:40 am
Location
Weil Hall 406
Categories
Artem Prokhorov
Date : Thursday, June 22, 2023
Mode : In-Person (Join Via Zoom)
Affiliation: University of Sydney
Bio: Visit Page
Title: The joy and danger of copulas: Limits of diversification and bundling of substitutes.
Abstract: I will talk about two papers where we derive new results for copula functionals that arise in finance and business applications. One is about models of risk where marginals are heavy tailed and copulas are in a general class permitting close form value at risk comparisons. The other is about bundling of goods and services in settings where user preferences are extreme and dependent, and similarly, we are able to provide new insights into optimal bundles, often at odds with conventional recommendations. This is joint work with Rustam Ibragimov of Imperial College London and Johan Walden of UC Berkeley.
Bio: Dr. Prokhorov is a Professor of Business Analytics at The University of Sydney Business School where his research interests lie in copula modeling, machine learning, and econometric theory. He is also an Associate Editor for the journals Econometrics and Statistics and the Journal of Productivity Analysis. He obtained his Ph.D. from Michigan State University in 2006.