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BEGIN:VEVENT
SUMMARY:Seminar by Prof. Georg Pflug\, University of Vienna
DTSTART:20170213T140000
DTEND:20170213T153000
DTSTAMP:20260916T043946Z
UID:cf7156fa786ea015d34b58e32068b7e861c2b790ceff3fe43187ef95
CATEGORIES:Conferences - Seminars
DESCRIPTION:Prof. Georg Pflug\, University of Vienna\n"Ambiguity in multis
 tage stochastic optimization and in portfolio selection"\n\nAbstract\nStoc
 hastic decision models suffer often from the drawback that decisions are q
 uite dependent on the probability distribution of the uncertain parameters
 \, but our knowledge about these distributions is limited and only based o
 n some observed data. In this talk\, we consider the distributionally robu
 st approach of decision making\, which takes the consideration of possible
  model errors as an integal part into account. Our model errors of nonpara
 metric type and are based on either Wasserstein-type distances or their mu
 ltistage generalization called nested distances. As an example\, we show t
 hat in portfolio optimization\, the assumption of totel model ignorance le
 ads to the uniform investment portfolio\, while the ignorance of the depen
 dency structures only leads to a concentrated portfolio. Another example s
 hows  a modification of the classical option price formulas in case of mo
 del ambiguity. In addition\, some results on optimal hydropower production
  in a multistage context will be presented.
LOCATION:EPFL\, ODY 4.03\, VIP Room http://plan.epfl.ch/?zoom=19&recenter_
 y=5863800.12869&recenter_x=731560.22521&layerNodes=fonds\,batiments\,label
 s\,information\,parkings_publics\,arrets_metro\,transports_publics&floor=4
 &q=ODY_4.03
STATUS:CONFIRMED
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