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