Description

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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

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

Registration

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