[FAM-news] reminder for upcoming seminars and talks

Sandra Trenovatz sandra at fam.tuwien.ac.at
Wed May 17 11:38:26 CEST 2017

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)

"From optimal rebalancing to information geometry"

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

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 NeŇ°lehov√° & Christian Genest (McGill Univ., Canada)
"Modeling clusters of extremes"
(Research seminar - Statistics and Mathematics)

For further details (including abstracts) see

To find the room on the WU Campus search for "D4.4.008" on:


More information about the FAM-news mailing list