FAM-news October 2010

fam-news@fam.tuwien.ac.at

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reminder, this week's seminars
by Sandra Trenovatz 18 Oct '10

18 Oct '10

This time we announce two talks at University of Vienna: Mo, 18.10.2010, 17:00-18:30, seminar room D 209, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Eberhard Mayerhofer (Vienna Institute of Finance) http://www.vif.ac.at/mayerhofer/ "A characterization of non-central Wishart distributions" (Seminar Finanzmathematik) Fr, 22.10.2010, 17:00, Leopold-Schmetterer-Seminarraum University of Vienna, 1010 Wien, Universitätsstraße 5, 3rd floor Ludger Rüschendorf (University of Freiburg) http://www.stochastik.uni-freiburg.de/~rueschendorf/ "Stochastic dependence, extremal risk and optimal portfolio diversification" This talk is concerned with the description of possible influence of positive dependence on the magnitude of risk in a portfolio vector. We discuss and review developments on the classical problem of Fréchet type bounds with univariate and multivariate marginals, and their applications to related various dependence orderings. As application we identify the worst case dependence structure of a portfolio of d-dimensional risks. In the second part we consider some new developments on the portfolio diversification problem. In the framework of multivariate extreme value theory we determine risk optimal portfolios and consider statistical properties of their empirical versions. More information about the ISDS-Kolloquium can be found here http://www.univie.ac.at/statistics/isdskoll/

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reminder, this week's seminars
by Sandra Trenovatz 11 Oct '10

11 Oct '10

As this week there are no talks at FAM, this time we just announce a talk at University of Vienna: Mo, 11.10.2010 (today), 17:00-18:30, seminar room C209, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Johannes Temme (University of Vienna) http://www.numerik.uni-kiel.de/~jk/personen/vierthauer.html "Risk Aversion and the Distribution of Portfolio Payoffs" (talk within the course "Seminar Finanzmathematik")

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reminder, this week's seminars
by Sandra Trenovatz 04 Oct '10

04 Oct '10

As this week there are no talks at FAM/TU Wien we announce a talk at our friends at UniVie: Mo, 4.10.2010 (today), 17:00-18:30, seminar room D 209, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Christian Bayer (KTH Stockholm) "Cubature on Wiener Space" (Seminar Finanzmathematik)

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FAM-news October 2010