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/
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")
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)