[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


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Joint Seminar: TU Wien, University of Vienna and WU Vienna
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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/

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WU Wien, Institute for Statistics and Mathematics
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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)
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

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