Friday, September 9, 2022 1:00 pm
-
1:00 pm
EDT (GMT -04:00)
Title: Conditional Value-at-Risk
| Speaker: | Nathan Benedetto |
| Affiliation: | University of Waterloo |
| Location: | MC 6029 or contact Rian Neogi for the Zoom link |
Abstract: The mean and variance of a probability distribution may not reflect what one wants from a scenario involving uncertainty.In particular, such measures fall short of expressing risk in a way suitable for financial and similar applications.
In this talk we will discuss two measures of risk: Value-at-Risk and Conditional Value-at-Risk, as well as their connection to convex optimization.