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Reading Course: Risk Measures and Robust Portfolio Optimization

Inhaltsbereich / Content

Reading Course: Risk Measures and Robust Portfolio Optimization

Prof. Dr. Jörn Sass

News

Fridays, 8:15, in 48-438. 

Literature

The basis will be the following lecture notes:

Alexander Schied (2004/6): Risk measures and robust optimization problems. Lecture notes of a minicourse held at the 8th Symposium on Probability and Stochastic Processes, Universidad de las Americas, Puebla, June 20-25, 2004. (Appeared later in Stochastic Models, 2006).

We have to consult further references during the course.

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