主講者: Professor Brice Franke (Université de Bretagne Occidentale ) 講題: On the worst case value at risk for a joint law with known marginals and covariance 時間: 2012-03-12 (Mon.)  14:10 - 地點: 數學所 722 研討室 (台大院區) Abstract: The probability for $X+Y$ to be larger than a certain value $\gamma$ depends on the joint law of $X$ and $Y$. In case the marginal distributions of $X$ and $Y$ are known, one can use a duality theorem to find minimizers of the probability of $X+Y$ being larger than $\gamma$. In this talk we want to study the case when some additional information on the covariance is available. || Close window ||