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Department Seminar by Jing Ai, University of Hawaii at ManoaExport this event to calendar

Thursday, May 31, 2012 — 4:00 PM EDT

Optimal capital budgeting and risk management with shared and dependent risks

Capital budgeting for investments and risk management are two critical components of the corporate decision making process. For an integrated firm with multiple divisions, they need to be considered jointly at the enterprise level because of their natural interactions through the shared and dependent risk exposures within an intricate organizational structure. This paper develops an integrated optimization framework that aligns these two corporate strategies across business divisions to meet the streamlined strategic goal of the enterprise in a multi-period setting. A hypothetical example is given for a financial services company to optimally coordinate capital budgeting and risk management.

Location 
M3 - Mathematics 3
3127
200 University Avenue West

Waterloo, ON N2L 3G1
Canada

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