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

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

 Speakers: Alex Papanicolaou, Intelligent Financial Machines

 Consortium for Data Analytics in Risk

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.