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Topic:Towards geometry and set-valued functions in multivariate finance

Ilya Molchanov (Bern)

Abstract: When dealing with several assets, it is usually possible to combine or exchange them in many ways. Accordingly, the family of admissible portfolios is a (usually convex) set in the Euclidean space. The talk explains the relevant basic mathematical constructions and then concentrates on the analogues of the concepts of convexity and concavity. Their relevance in assessing risks of mutiasset portfolios will be particularly emphasised.

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