R2 - Vector-Valued And Set-Valued Risk Measures: Portfolio Optimization And Large Deviation...

Universities and Institutes of Italy
November 28, 2022
Offerd Salary:€ 19.367
Working address:N/A
Contract Type:Temporary
Working Time:Negotigation
Working type:N/A
Job Ref.:N/A
  • Organisation/Company: Università degli Studi dell'Insubria
  • Research Field: Mathematics › Probability theory
  • Researcher Profile: Recognised Researcher (R2)
  • Application Deadline: 28/11/2022 12:00 - Europe/Brussels
  • Location: Italy › Varese
  • Type Of Contract: Temporary
  • Job Status: Other
  • 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-recruitment

    Selection process

    Selection is made with comparative evaluation of the candidates' CVs who have applied on the basis of qualifications and publications. Eventually interview.

    https: // www. uninsubria.eu/research/era-researchers-recruitment

    Web site for additional job details

    https: // www. uninsubria.it/opportunita/n-1-assegno-junior-lo-svolgimento-di- at...

    https: // www. uninsubria.eu/opportunity/n1-junior-grant-research-activities- dep...

    Offer Requirements Specific Requirements
  • Degree in Mathematics, lasting not less than 5 years, obtained according to the educational system in force prior to Ministerial Decree no. 509/1999 and subsequent amendments;
  • Master's Degree in Mathematics (classe LS 45/S), obtained pursuant to Ministerial Decree 509/1999 and subsequent amendments;
  • Master's Degree in Mathematics (classe LM-40) of Ministerial Decree 270/2004;
  • PhD in Mathematics or Applied Mathematics.
  • Contact Information
  • Organisation/Company: Università degli Studi dell'Insubria
  • Department: Department of Economics
  • Organisation Type: Higher Education Institute
  • Website: https:// www. uninsubria.it https: // www. uninsubria.eu
  • E-Mail: dipartimento.economia@uninsubria.it
  • Country: Italy
  • City: Varese
  • State/Province: Italia / Lombardia
  • Postal Code: 21100
  • Street: Via Ravasi, 2
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