Alex Papanicolaou, Intelligent Financial Machines: Computation of Optimal Conditional Expected Drawdown Portfolios

We introduce two approaches to computing and minimizing the risk measure Conditional Expected Drawdown (CED) of Goldberg and Mahmoud (2016). One approach is based on a continuous-time formulation yielding a partial differential equation (PDE) solution to computing and minimizing CED while another is a sampling based approach utilizing a linear program (LP) for minimizing CED.

  • Start date: 2019-02-12 11:00:00
  • End date: 2019-02-12 12:30:00
  • Venue: 1011 Evans Hall
    • Address: 1011 Evans Hall, Berkeley, CA, 94720