## Seminar 217, Risk Management: Computation of Optimal Conditional Expected Drawdown Portfolios

Seminar | February 12 | 11 a.m.-12:30 p.m. | 1011 Evans Hall

Speakers: Alex Papanicolaou, Intelligent Financial Machines

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.

jschellenberg@berkeley.edu