Explores coherent risk measures and the spectral approach to risk aversion, covering VaR, ES, subadditivity, convexity, and the creation of new risk measures.
Explores portfolio optimization models and strategies under uncertainty, emphasizing decision criteria like value-at-risk and mean-variance functional.
Explores stochastic optimization in portfolio management, emphasizing decision criteria for uncertain objectives and the concept of conditional value-at-risk.
Covers methods to define the design storm, empirical distribution of rainfall maxima, Gumbel distribution, and intensity-duration-frequency relationships.
Explores extreme values in random variables, applications in environmental factors, reliability modeling, block maxima distribution, and the Generalized Extreme Value distribution.
