Legend: Boston Convention & Exhibition Center = CC, Westin Boston Waterfront = W, Seaport Boston Hotel = S
A * preceding a session name means that the session is an applied session.
A ! preceding a session name means that the session reflects the JSM meeting theme.
A * preceding a session name means that the session is an applied session.
A ! preceding a session name means that the session reflects the JSM meeting theme.
Activity Details
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| 341 | Tue, 8/5/2014, 10:30 AM - 12:20 PM | CC-104A | |
| Risk Analysis for Financial Applications — Contributed Papers | |||
| Section on Risk Analysis | |||
| Chair(s): Shaonan Tian, San Jose State University | |||
| 10:35 AM | Robust Portfolio Optimization Under High-Dimensional Heavy-Tailed Time Series — Huitong Qiu, Johns Hopkins University ; Fang Han, Johns Hopkins University ; Brian Scott Caffo, Johns Hopkins University ; Han Liu, Princeton University | ||
| 10:50 AM | Predictor-Dependent Modeling for Bivariate Extremes — Daniela A. Castro, Pontificia Universidad Católica de Chile ; Miguel de Carvalho, Pontificia Universidad Católica de Chile ; Jennifer L. Wadsworth, University of Cambridge | ||
| 11:05 AM | High-Dimensional Covariance Matrix Estimation via the Barra Model — Yiwei Zhang, University of Michigan ; Ji Zhu, University of Michigan | ||
| 11:20 AM | Bayesian Modeling of Hedge Fund Return Characteristics — Weiren Chang, JP Morgan | ||
| 11:35 AM | Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness — John Opdyke, GE Capital | ||
| 11:50 AM | Exploration of Play Against the Random Past Strategy in Non-Symmetric Sequential Predictions — Mingfei Li, Bentley University | ||
| 12:05 PM | Floor Discussion | ||
2014 JSM Online Program Home
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