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UID:0-8279@eng.ufl.edu
DTSTART;TZID=America/New_York:20260304T104000
DTEND;TZID=America/New_York:20260304T113000
DTSTAMP:20260226T152911Z
URL:https://www.eng.ufl.edu/news-events/events/ise-seminar-stan-uryasev/
SUMMARY:ISE Seminar: Stan Uryasev
DESCRIPTION:ISE Seminar: Stan Uryasev\, Stony Brook University\n"Risk Quadr
 angle and Applications in Statistics\, Data Mining\, and Portfolio Optimiz
 ation"\nStan URYASEV (joint paper with Anton Malandii and Cheng Peng) Ston
 y Brook University\nThe paper reviews recent results obtained with the Ris
 k Quadrangle Framework. A quadrangle includes four functions quantifying u
 ncertainty: Risk\, Deviation\, Regret\, and Error. These functions are int
 erconnected with one more function called Statistic. We consider several q
 uadrangles: Expectile\, Superquantile Norm\, Symmetric Quantile Average\, 
 f-Divergence. The quadrangle framework results in many new analytical resu
 lts. For instance\, we show that Support Vector Regression is an asymptoti
 cally unbiased estimator of the average of two symmetric conditional quant
 iles and that Conditional Value-at-Risk\, Expectile\, and Omega portfolio 
 optimization are equivalent.\nBIO:\nStan Uryasev is Professor and Frey Fam
 ily Endowed Chair at the Stony Brook University.\nHis research is focused 
 on efficient computer modeling and optimization techniques and their appli
 cations in finance and DOD projects. He published four books (two monograp
 hs and two edited volumes) and more than 130 research papers. He is a co-i
 nventor of the Conditional Value-at-Risk and the Conditional Drawdown-at-R
 isk optimization methodologies. He developed optimization software in risk
  management area\, including Drawdown and Credit Risk minimization.\nHis j
 oint 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 implem
 ented the approach suggested in this paper (MATLAB implemented a toolbox).
 \nStan Uryasev is a frequent speaker at academic and professional conferen
 ces. He has delivered seminars on the topics of risk management and stocha
 stic optimization. He is on the editorial board of a number of research jo
 urnals and is Editor Emeritus and Chairman of the Editorial Board of the J
 ournal of Risk.
CATEGORIES:Seminars
LOCATION:406 Weil Hall &amp\; Zoom\, 1949 Stadium Dr\, Gainesville\, FL\, 3
 2611\, United States
X-APPLE-STRUCTURED-LOCATION;VALUE=URI;X-ADDRESS=1949 Stadium Dr\, Gainesvil
 le\, FL\, 32611\, United States;X-APPLE-RADIUS=100;X-TITLE=406 Weil Hall &
  Zoom:geo:0,0
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