ISE Seminar: Stan Uryasev

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ISE Seminar: Stan Uryasev, Stony Brook University

“Risk Quadrangle and Applications in Statistics, Data Mining, and Portfolio Optimization”

Stan URYASEV (joint paper with Anton Malandii and Cheng Peng) Stony Brook University

The paper reviews recent results obtained with the Risk Quadrangle Framework. A quadrangle includes four functions quantifying uncertainty: Risk, Deviation, Regret, and Error. These functions are interconnected with one more function called Statistic. We consider several quadrangles: Expectile, Superquantile Norm, Symmetric Quantile Average, f-Divergence. The quadrangle framework results in many new analytical results. For instance, we show that Support Vector Regression is an asymptotically unbiased estimator of the average of two symmetric conditional quantiles and that Conditional Value-at-Risk, Expectile, and Omega portfolio optimization are equivalent.

BIO:
Stan Uryasev is Professor and Frey Family Endowed Chair at the Stony Brook University.

His research is focused on efficient computer modeling and optimization techniques and their applications in finance and DOD projects. He published four books (two monographs and two edited volumes) and more than 130 research papers. He is a co-inventor of the Conditional Value-at-Risk and the Conditional Drawdown-at-Risk optimization methodologies. He developed optimization software in risk management area, including Drawdown and Credit Risk minimization.

His joint paper with Prof. Rockafellar on Optimization of Conditional Value-At-Risk in The Journal of Risk, Vol. 2, No. 3, 2000 is among the 100 most cited papers in Finance. Many risk management/optimization packages implemented the approach suggested in this paper (MATLAB implemented a toolbox).

Stan Uryasev is a frequent speaker at academic and professional conferences. He has delivered seminars on the topics of risk management and stochastic optimization. He is on the editorial board of a number of research journals and is Editor Emeritus and Chairman of the Editorial Board of the Journal of Risk.