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 the fundamentals of financial risk management, including types of risk, historical developments, regulatory events, and the challenges in quantitative risk management.
