## Description

Back to topOver the past two decades significant progress has been made in developing a general framework for studying preference orders in an uncertain and dynamic environment, primarily with applications to risk management, economics, pricing and hedging, as well as stochastic optimal control. The theory and practice of assessment indices is an integral part of this general framework. At abstract level, an assessment index is a functional defined on the set of objects to be ordered that satisfies a set of minimal assumptions, such as monotonicity (better for better) and quasi-concavity (diversification is preferred to concentration). In particular, assessment indices can be used in rendering a trade-off between reward opportunities and risk of losses. Some of the key research directions in this area are: (a) finding analytically tractable descriptions of such classes of functionals; (b) establishing adequate description of intertemporal properties, also known as time (in)consistency in decision making.

The aim of this workshop is to bring together leading experts in the field of decision making, dynamic risk and performance measures to exchange latest developments in these research areas, discuss open problems and challenges in solving them, as well as to foster collaborations between participants and their collaborators.

## Organizers

Back to top## Speakers

Back to top## Schedule

Back to top**Speaker: **Samuel Cohen (University of Oxford)

**Speaker: **Giulia Di Nunno (University of Oslo)

**Speaker: **Dilip Madan (University of Maryland)

**Speaker: **Stephane Crepey (Université de Paris)

**Speaker: **Marcin Pitera (Jagiellonian University)

**Speaker: **Thilo Meyer-Brandis (Ludwig Maximilian University of Munich)

**Speaker: **Marco Frittelli (Università degli Studi di Milano)

**Speaker: **Gero Junike (Carl von Ossietzky University of Oldenburg)

**Speaker: **Ruodu Wang (University of Waterloo)

**Speaker: **Birgit Rudloff (Vienna University of Economics and Business)

**Speaker: **Rüdiger Frey (Vienna University of Economics and Business)

**Speaker: **Gabriela Kovacova (Vienna University of Economics and Business)

**Speaker: **Zachary Feinstein (Stevens Institute of Technology)

**Speaker: **Emanuela Rosazza Gianin (Università degli Studi di Milano-Bicocca)

**Speaker: **Delia Coculescu (Universität Zürich)

**Speaker: **Tao Chen (University of Michigan)

**Speaker: **Alexander Shapiro (Georgia Institute of Technology)

**Speaker: **Andrzej Ruszczyński (Rutgers University)

**Speaker: **Igor Cialenco (llinois Institute of Technology)

**Speaker: **Darinka Dentcheva (Stevens Institute of Technology)

**Speaker: **Ziteng Cheng (University of Toronto)

## Videos

Back to topFully-dynamic risk measures: time-consistency, horizon risk, and relations with BSDEs and BSVIEs

Giulia Di Nunno

May 9, 2022

Entropy as performance measure: long-run risk sensitive stochastic control in discrete time

Marcin Pitera

May 9, 2022

Fair Systemic Risk Measures and Systemic Optimal Risk Transfer Equilibria

Thilo Meyer-Brandis

May 10, 2022

Convex measures of model risk for option hedging and nonlinear Black Scholes equations

Rüdiger Frey

May 11, 2022

Time consistency and set-valued Bellman’s principle: evidence from mean-risk problem and acceptability maximization

Gabriela Kovacova

May 11, 2022

Time Consistency of Scalar Multivariate Risk Measures and the Moving Scalarization

Zachary Feinstein

May 11, 2022

Risk averse and distributionally robust modeling of multistage stochastic programs

Alexander Shapiro

May 12, 2022

Risk-Averse Learning by Temporal Difference Methods with Markov Risk Measures

Andrzej Ruszczyński

May 13, 2022

Stability and Sample-based Approximations of Composite Stochastic Optimization Problems

Darinka Dentcheva

May 13, 2022