Title: The role of risk measure in multistage distributionally robust stochastic optimization.
Abstract: In this talk, we discuss the concept of risk measure, where optimization and financial mathematics meet. New challenges arise in a dynamic environment and data-driven settings. We will introduce a new class of dynamic risk measures with good interpretability and time consistency. While it is often assumed that a reference probability measure exists, under which all relevant probability measures are absolutely continuous, there are examples where this assumption does not hold, such as certain distributional robust functionals. Our construction does not rely on this assumption. This talk includes several joint works with Rui Gao and Luhao Zhang.
