Program for stream Decision Making Modeling and Risk Assessment in the Financial Sector

MD-18: Financial Modeling and Risk Management
Stream: Decision Making Modeling and Risk Assessment in the Financial Sector
Room: SOUTH BUILDING UV S206 (building 0)
Chair(s): Markku Kallio

• Mean-risk optimal portfolio in a behavioral framework
  Cristinca Fulga
• Rational irrationality: how 'predictable' are investors during financial instabilities?
  Mohammad Emambocus, Gurjeet Dhesi, Babar Syed
• Markowitz portfolio optimisation using homogeneous subsets
  Elmira Mynbayeva, John Lamb
• Cooperative mitigation of contagion in financial networks
  Markku Kallio, Aien khabazian

TA-18: Risk Measurement and Modeling
Stream: Decision Making Modeling and Risk Assessment in the Financial Sector
Room: SOUTH BUILDING UV S206 (building 0)
Chair(s): Fabio Bellini

• An ordinal information based estimator of risky asset returns
  Eranda Cela, Stephan Hafner, Roland Mestel, Ulrich Pferschy
• Elicitability and identifiability of measures of systemic risk
  Jana Hlavinová, Tobias Fissler, Birgit Rudloff
• Generalized Little's law and an asset picking system to model an investment portfolio: a large-scale model
  Maria Luisa Ceprini, John D C Little
• Dynamic properties of classical and robust Orlicz and Haezendonck-Goovaerts risk measures
  Fabio Bellini, Roger Laeven, Emanuela Rosazza Gianin