A Class of Interpretable and Decomposable Multi-period Convex Risk Measures

Explore a mathematical lecture on multi-period convex risk measures presented by Luhao Zhang from Johns Hopkins University at the Fields Institute. Delve into the theoretical framework of interpretable and decomposable risk measures that can be applied across multiple time periods, examining their mathematical properties and practical implications. Learn about the convex structure of these risk measures and understand how they can be decomposed and interpreted in financial and economic contexts. Discover the connections between optimal transport theory and risk measurement, as this presentation is part of a broader workshop on optimal transport applications in stochastics and projections. Gain insights into advanced mathematical concepts that bridge probability theory, optimization, and risk management through rigorous mathematical analysis and theoretical development.