To Whom it May Concern: yesterday another talk was fixed for this week's Vienna Seminar in Mathematical Finance and Probability. I am very sorry for the short notice. Kind regards, Sandra ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 18.05.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Ting-Kam Leonard Wong (University of Southern California, USA) http://www-bcf.usc.edu/~tingkamw/ "From optimal rebalancing to information geometry" Abstract: What is the optimal frequency to rebalance a portfolio? For the class of functionally generated portfolios in stochastic portfolio theory, we show that the answer is given in terms of a "dualistic" Pythagorean theorem. Along the way, we establish fascinating connections with optimal transport and information geometry - the differential geometry of probability distributions. A key role is played by the concept of L-divergence which generalizes the diversification return (aka excess growth rate) of a portfolio. Our results extend the classical information geometry of Bregman divergence developed by Amari and others. This is joint work with Soumik Pal. Vienna Seminar in Mathematical Finance and Probability https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 19.05.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Johanna Nešlehová & Christian Genest (McGill Univ., Canada) http://www.math.mcgill.ca/neslehova/ http://www.math.mcgill.ca/cgenest/ "Modeling clusters of extremes" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------