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Explore distributionally robust risk measures in this 53-minute webinar presented by Silvana Pesenti from the University of Toronto as part of the SIAM Activity Group on Financial Mathematics and Engineering Virtual Talk Series. Delve into the concept of worst-case distortion risk measures for Wasserstein uncertainty sets and their application to portfolio optimization. Examine dynamic robust risk measures and uncertainty sets, studying conditions for properties like convexity and coherence, while gaining insights into time-consistency and recursive representation. Conclude with a Q&A session to further enhance understanding of these cutting-edge topics in financial mathematics and engineering.
