Special Financial Math Seminar

***note special time and place:
Thurs, Sept 25, 2008,  2:30pm  301 LOV

------------
Title:
Generalized Deviations are Counterparts to Risk Measures

Speaker:
Stan Uryasev
Professor
Department of Industrial and Systems Engineering
Director of the Risk Management and Financial Engineering Lab
University of Florida
uryasev@ufl.edu

and 
Consultant to American Optimal Decisions (AOrDa.com)
uryasev@aorda.com

Abstract:
The paper discusses theoretical and practical issues of risk management with tail risk measures such as VaR, CVaR, and Default Probability. We will address the following topics:
	Generalized Deviations versus Risk Measures
	Coherent Deviations
	Portfolio Optimization with Generalized Deviations
	Optimal Portfolio Policies with Multiple Deviations
	Betas for Optimal Portfolios
	Market Equilibrium with Investors Having Different Deviations
	Statistics with Generalized Deviations

We will demonstrate with several case studies the risk management/optimization package Portfolio Safeguard by AOrDa.com. 
----------------


***see also colloquium talk, Friday Sept 26, 2008, 3:35pm:

Title:
Risk-Return optimization: recent approaches and software implementation

Abstract:
The recent years have witnessed significant advances in risk management. Motivated by regulators and competitive pressures, financial institutions have adopted Value-at-Risk (VAR) as a methodology for measuring risks. The coherent risk measure, Conditional Value-at-Risk (CVaR) which is also call Expected Shortfall, is getting popular because of exceptional mathematical and numerical properties. The purpose of this talk is to present the latest developments in the management of financial risks. The talk is focused on challenging issues related to optimization and integration of Market and Credit risks. We emphasize numerical-technological aspects of Risk Management. In particular, we cover recent developments in portfolio optimization with VaR, CVaR, Default Probability, and Drawdown functions. We demonstrate several case studies conducted with Portfolio Safeguard by AOrDa.com, see http://aorda.com/main/psg.action .  We discuss optimal allocation strategies for a portfolio of Hedge Funds and risk management strategies for AOrDa portfolios, download flyer at http://aorda.com/main/tradingSystem.action .

****