105.118 Dynamic Risk Measures
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2007W, VO, 2.0h, 3.0EC

Properties

Semester hours: 2.0
Credits: 3.0
Type: VO Lecture

Aim of course

The course gives an overview of recent advances; it should lead to the frontiers of the present state of research on dynamic, convex risk measures.

Subject of course

Dynamische konvexe Risiko-Maße, bedingte Risiko-Maße, robuste Darstellung, dynamische Penalty-Funtionen, Zeit-Konsistenz, asymptotische Sicherheit, entropisches Risiko-Maß

Lecturers

Schachermayer, Walter

Institute

E105 Institute of Statistics and Mathematical Methods in Economics

Course dates

Day	Time	Date	Location	Description
Fri	10:00 - 11:30	05.10.2007	Sem.R. DA grün 06A	Vorbesprechung: SCHACHERMAYER
Fri	11:00 - 12:30	12.10.2007 - 01.02.2008	Sem.R. DA grün 06A	SCHACHERMAYER

Show single appointments

Dynamic Risk Measures - Single appointments

Day	Date	Time	Location	Description
Fri	05.10.2007	10:00 - 11:30	Sem.R. DA grün 06A	Vorbesprechung: SCHACHERMAYER
Fri	12.10.2007	11:00 - 12:30	Sem.R. DA grün 06A	SCHACHERMAYER
Fri	19.10.2007	11:00 - 12:30	Sem.R. DA grün 06A	SCHACHERMAYER
Fri	26.10.2007	11:00 - 12:30	Sem.R. DA grün 06A	SCHACHERMAYER
Fri	02.11.2007	11:00 - 12:30	Sem.R. DA grün 06A	SCHACHERMAYER
Fri	09.11.2007	11:00 - 12:30	Sem.R. DA grün 06A	SCHACHERMAYER
Fri	16.11.2007	11:00 - 12:30	Sem.R. DA grün 06A	SCHACHERMAYER
Fri	23.11.2007	11:00 - 12:30	Sem.R. DA grün 06A	SCHACHERMAYER
Fri	30.11.2007	11:00 - 12:30	Sem.R. DA grün 06A	SCHACHERMAYER
Fri	07.12.2007	11:00 - 12:30	Sem.R. DA grün 06A	SCHACHERMAYER
Fri	14.12.2007	11:00 - 12:30	Sem.R. DA grün 06A	SCHACHERMAYER
Fri	21.12.2007	11:00 - 12:30	Sem.R. DA grün 06A	SCHACHERMAYER
Fri	28.12.2007	11:00 - 12:30	Sem.R. DA grün 06A	SCHACHERMAYER
Fri	04.01.2008	11:00 - 12:30	Sem.R. DA grün 06A	SCHACHERMAYER
Fri	11.01.2008	11:00 - 12:30	Sem.R. DA grün 06A	SCHACHERMAYER
Fri	18.01.2008	11:00 - 12:30	Sem.R. DA grün 06A	SCHACHERMAYER
Fri	25.01.2008	11:00 - 12:30	Sem.R. DA grün 06A	SCHACHERMAYER
Fri	01.02.2008	11:00 - 12:30	Sem.R. DA grün 06A	SCHACHERMAYER

Examination modalities

oral exam

Course registration

Not necessary

Curricula

Study Code	Obligation	Semester	Precon.	Info
066 400 Mathematics	Not specified
066 401 Statistics	Not specified
066 402 Mathematics in Science and Technology	Not specified
066 403 Mathematics in Economics	Not specified
066 404 Mathematics in Computer Science	Not specified
066 405 Financial and Actuarial Mathematics	Not specified
066 415 Actuarial Mathematics	Not specified
860 Technical Mathematics	Not specified
864 Mathematics for Natural Sciences	Not specified
866 Economic Mathematics	Not specified
867 Statistics	Not specified
869 Mathematics in Computer Science	Not specified
873 Finance and Actuarial Mathematics	Not specified

Literature

Hans Föllmer, Irina Penner "Convex risk measures and the dynamics of their penalty functions", Statistics & Decisions 24/1 (2006), pp. 61-96.

Language

English