[FAM-news] reminder, this week's seminars

Sandra Trenovatz sandra at fam.tuwien.ac.at
Mon Oct 18 11:46:10 CEST 2010

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)
    "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)
    "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

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