This event is part of Decision Making and Uncertainty View Details

Dynamic Assessment Indices

Description

Back to top

Over 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
T B
Tomasz Bielecki Illinois Institute of Technology
I C
Igor Cialenco Illinois Institute of Technology

Speakers

Back to top
T C
Tao Chen University of Michigan
Z C
Ziteng Cheng University of Toronto
D C
Delia Coculescu Universität Zürich
S C
Samuel Cohen University of Oxford
S C
Stephane Crepey Université de Paris
D D
Darinka Dentcheva Stevens Institute of Technology
G D N
Giulia Di Nunno University of Oslo
Z F
Zachary Feinstein Stevens Institute of Technology
R F
Ruediger Frey Vienna University of Economics and Business
M F
Marco Frittelli Università degli Studi di Milano
G J
Gero Junike Carl von Ossietzky University of Oldenburg
G K
Gabriela Kovacova Vienna University of Economics and Business
D M
Dilip Madan University of Maryland
T M
Thilo Meyer-Brandis University of Munich
M P
Marcin Pitera Jagiellonian University
E R G
Emanuela Rosazza Gianin University of Milano-Bicocca
B R
Birgit Rudloff Vienna University of Economics and Business
A R
Andrzej Ruszczynski Rutgers University
A S
Alexander Shapiro Georgia Institute of Technology
R W
Ruodu Wang University of Waterloo

Schedule

Back to top
Monday, May 9, 2022
9:25-9:30 CDT
Welcome
9:30-10:20 CDT
Identifiability in inverse reinforcement learning

Speaker: Samuel Cohen (University of Oxford)

10:30-11:00 CDT
Coffee Break
11:00-11:50 CDT
Fully-dynamic risk measures: time-consistency, horizon risk, and relations with BSDEs and BSVIEs

Speaker: Giulia Di Nunno (University of Oslo)

12:00-13:30 CDT
Lunch
13:30-14:20 CDT
High Dimensional Markovian Trading of a Single Stock

Speaker: Dilip Madan (University of Maryland)

14:20-15:00 CDT
Coffee Break
15:00-15:50 CDT
Learning from defaults

Speaker: Stephane Crepey (Université de Paris)

16:00-16:40 CDT
Entropy as performance measure: long-run risk sensitive stochastic control in discrete time

Speaker: Marcin Pitera (Jagiellonian University)

Tuesday, May 10, 2022
9:30-10:20 CDT
Fair Systemic Risk Measures and Systemic Optimal Risk Transfer Equilibria

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

10:30-11:00 CDT
Coffee Break
11:00-11:50 CDT
Systemic risk measures: conditional and robust features

Speaker: Marco Frittelli (Università degli Studi di Milano)

12:00-13:30 CDT
Lunch
13:30-14:20 CDT
American and exotic options in a market with frictions

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

14:20-15:00 CDT
Coffee Break
15:00-15:50 CDT
E-backtesting risk measures

Speaker: Ruodu Wang (University of Waterloo)

Wednesday, May 11, 2022
9:30-10:20 CDT
Epic Math Battles: Nash vs. Pareto

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

10:30-11:00 CDT
Coffee Break
11:00-11:50 CDT
Convex measures of model risk for option hedging and nonlinear Black Scholes equations

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

12:00-13:30 CDT
Lunch
13:30-14:20 CDT
Time consistency and set-valued Bellman’s principle: evidence from mean-risk problem and acceptability maximization

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

14:20-15:00 CDT
Coffee Break
15:00-15:50 CDT
Time Consistency of Scalar Multivariate Risk Measures and the Moving Scalarization

Speaker: Zachary Feinstein (Stevens Institute of Technology)

Thursday, May 12, 2022
9:30-10:20 CDT
New perspective to capital allocation rules in a dynamic setting

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

10:30-11:00 CDT
Coffee Break
11:00-11:50 CDT
On the benefits of risk sharing

Speaker: Delia Coculescu (Universität Zürich)

12:00-13:30 CDT
Lunch
13:30-14:20 CDT
Market Making and Derivative Pricing via Dynamic Conic Finance

Speaker: Tao Chen (University of Michigan)

14:20-15:00 CDT
Coffee Break
15:00-15:50 CDT
Risk averse and distributionally robust modeling of multistage stochastic programs

Speaker: Alexander Shapiro (Georgia Institute of Technology)

Friday, May 13, 2022
9:30-10:20 CDT
Risk-Averse Learning by Temporal Difference Methods with Markov Risk Measures

Speaker: Andrzej Ruszczyński (Rutgers University)

10:30-11:00 CDT
Coffee Break
11:00-11:50 CDT
Dynamic acceptability indices generated by distortion functions

Speaker: Igor Cialenco (llinois Institute of Technology)

12:00-13:30 CDT
Lunch
13:30-14:20 CDT
Stability and Sample-based Approximations of Composite Stochastic Optimization Problems

Speaker: Darinka Dentcheva (Stevens Institute of Technology)

14:20-15:00 CDT
Coffee Break
15:00-15:50 CDT
Markov decision processes with Kusuoka-type conditional risk mappings

Speaker: Ziteng Cheng (University of Toronto)


Videos

Back to top

Identifiability in inverse reinforcement learning

Samuel Cohen
May 9, 2022

Fully-dynamic risk measures: time-consistency, horizon risk, and relations with BSDEs and BSVIEs

Giulia Di Nunno
May 9, 2022

High Dimensional Markovian Trading of a Single Stock

Dilip Madan
May 9, 2022

Learning from defaults

Stephane Crepey
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

Systemic risk measures: conditional and robust features

Marco Frittelli
May 10, 2022

American and exotic options in a market with frictions

Gero Junike
May 10, 2022

E-backtesting risk measures

Ruodu Wang
May 10, 2022

Epic Math Battles: Nash vs. Pareto

Birgit Rudloff
May 11, 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

New perspective to capital allocation rules in a dynamic setting

Emanuela Rosazza Gianin
May 12, 2022

On the benefits of risk sharing

Delia Coculescu
May 12, 2022

Market Making and Derivative Pricing via Dynamic Conic Finance

Tao Chen
May 12, 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

Dynamic acceptability indices generated by distortion functions

Igor Cialenco
May 13, 2022

Stability and Sample-based Approximations of Composite Stochastic Optimization Problems

Darinka Dentcheva
May 13, 2022

Markov decision processes with Kusuoka-type conditional risk mappings

Ziteng Cheng
May 13, 2022