Скачать или смотреть Interpretable & Decomposable Multi-Period Convex Risk Measures with Luhao Zhang

How can we better assess risk in evolving, uncertain environments? In this talk, Luhao Zhang presents a new class of multi-period convex risk measures that address a major limitation in traditional approaches like Conditional Value-at-Risk: the lack of dynamic decomposition.

This innovative framework evaluates the worst-case expectation across all possible stochastic processes, penalizing deviations from a nominal process using both likelihood ratio and outcome-based metrics. Crucially, it can be reformulated as a dynamic program, enabling more efficient, recursive risk assessment over time.

Key insights:
Why dynamic decomposition matters in risk modeling
How the proposed method improves computational efficiency and interpretability
Practical implications for finance, operations, and decision-making under uncertainty

Perfect for researchers, practitioners, and students in quantitative finance, operations research, and stochastic optimization.

🔔 Subscribe for more insights on the future of data modeling. Keep up-to-date on SIAM/BFS Webinars at https://wiki.siam.org/siag-fm/index.p...

Watch previous SIAM FME webinars at    • SIAM Activity Group on FME Virtual Talk Se...  

Learn more about SIAM Activity Group on Financial Mathematics and Engineering at https://www.siam.org/get-involved/con...

#LuhaoZhang #RiskManagement #ConvexRiskMeasures #DynamicProgramming #Finance #StochasticProcesses #OperationsResearch