Speaker: Stan Uryasev
Title: Risk-Return Optimization: Recent Approaches and Software Implementation
Affiliation: University of Florida
Date: Friday, September 26, 2008
Place and Time: Room 101, Love Building, 3:35-4:30 pm
Refreshments: Room 204, Love Building, 3:00 pm

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. We discuss optimal allocation strategies for a portfolio of Hedge Funds and risk management strategies for AOrDa portfolios (download flyer).