Combinatorial Optimization Reading Group - Nathan Benedetto

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.