Explores portfolio optimization models and strategies under uncertainty, emphasizing decision criteria like value-at-risk and mean-variance functional.
Explores coherent risk measures and the spectral approach to risk aversion, covering VaR, ES, subadditivity, convexity, and the creation of new risk measures.
Explores stochastic optimization in portfolio management, emphasizing decision criteria for uncertain objectives and the concept of conditional value-at-risk.
Explores the practical applications and implications of the Capital Asset Pricing Model in finance, including estimating betas and calculating expected returns.
