Institute for
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Die Erholunsgzone vor dem D4 Gebäude über dem Brunnen.

Summer Term 2018

You are cordially invited to attend the talks in seminar room D4.4.008 (Building D4, Entrance A, Level 4) on Fridays at 9:00am.


March 16

: TWO TALKS

// 9:00-10:30 //


Jin Ma

(Department of Mathematics, University of Southern California, Los Angeles, USA):


Optimal Dividend and Investment Problems under Sparre Andersen Model


> Abstract


> Paper


> Talk


[Host: Birgit Rudloff]



// 10:30-12:00 //
Andrzej Ruszczynski

 (Department of Management Science & Information Systems, Rutgers Business School, Newark, USA):


Risk-Averse Control of Partially Observable Markov Systems

> Abstract


> Paper


> Talk


[Host: Birgit Rudloff]
March 23:

Cosimo-Andrea Munari (Department of Banking and Finance, University of Zurich):

Existence, uniqueness and stability of optimal portfolios of eligible assets

> Abstract


> Paper


> Talk


[Host: Birgit Rudloff]
April 13:

Marica Manisera and Paola Zuccolotto (both: Department of Economics and Management, UNIBS-Università degli Studi di Brescia):
Basketball data science

> Abstract
> Paper 1, Paper 2, Material


> Talk


[Host: Thomas Rusch]
April 18:
***Change of date and time***: WEDNESDAY, April 18, 12:30 (Brown Bag Seminar)

Eric Eisenstat (School of Economics, The University of Queensland, Brisbane, Australia):
Efficient Estimation of Structural VARMAs with Stochastic Volatility

> Abstract


> Talk


[Hosts: Gregor Kastner, Sylvia Frühwirth-Schnatter]
April 27:

Nicole Bäuerle (Institute of Stochastics, Karlsruhe Institute of Technology):
Optimal Control of Partially Observable Piecewise Deterministic Markov Processes

> Abstract
> Paper


> Talk


[Host: Rüdiger Frey]
May 4:

Ioannis Kosmidis (Department of Statistics, University of Warwick):
Location-adjusted Wald statistics

> Abstract
> Paper


> Talk


[Host: Kurt Hornik]
May 25:

Kemal Dinçer Dingeç (Department of Industrial Engineering, Altınbaş University):
Evaluating CDF and PDF of the Sum of Lognormals by Monte Carlo Simulation

> Abstract
> Talk


[Host: Josef Leydold]
June 8:

Wayne Oldford (Department of Statistics and Actuarial Science, University of Waterloo):


Exploratory visualization of higher dimensional data


> Abstract


> Talk
> Selected Papers / Further Material

[Host: Kurt Hornik]
June 15:

Peter Filzmoser (Institute of Statistics and Mathematical Methods in Economics, TU Wien):
Robust and sparse estimation methods for linear and logistic regression in high dimensions

> Abstract
> Preprint, Paper


> Talk


[Host: Kurt Hornik]
June 22:

John M. Maheu (DeGroote School of Business, McMaster University, Hamilton, Canada):

Nonparametric Dynamic Conditional Beta

> Abstract


> Paper


> Talk


[Host: Sylvia Frühwirth-Schnatter]