Since risky positions in multivariate portfolios can be offset by various choices of capital requirements that depend on the exchange rules and related transaction costs, it is natural to assume that the risk measures of random vectors are set-valued. The purpose of this reaserch project is to investigate three different aspects of multi-dimensional and set-valued risk management: apply tools and methodologies from set-valued convex analysis theory and set- optimization theory in topological spaces to study portfolio optimization problems in a set-valued framework; analyse multi-objective portfolio optimization problems with uncertain parameters (by means of the nonlinear scalarization method) and examine large deviation bounds for a broad class of set- valued static risk measures.
Duration: 1 year Remuneration: € 19.367,00 (gross salary)
https:// www. uninsubria.eu/research/era-researchers-recruitmentSelection process
Selection is made with comparative evaluation of the candidates' CVs who have applied on the basis of qualifications and publications. Eventually interview.
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