{"id":3360,"date":"2024-12-06T16:25:07","date_gmt":"2024-12-06T19:25:07","guid":{"rendered":"https:\/\/www.ufrgs.br\/ppge\/?p=3360"},"modified":"2024-12-06T16:25:07","modified_gmt":"2024-12-06T19:25:07","slug":"seminario-de-pesquisa-11-12-2024","status":"publish","type":"post","link":"https:\/\/www.ufrgs.br\/ppge\/seminario-de-pesquisa-11-12-2024\/","title":{"rendered":"Semin\u00e1rio de Pesquisa 11\/12\/2024"},"content":{"rendered":"\n<p class=\"wp-block-paragraph\">Ocorrer\u00e1 no dia\u00a0<strong>11\/12\/2024, quarta-feira, \u00e0s 14h<\/strong>\u00a0na sala\u00a0<strong>401A \u2013 FCE<\/strong>,\u00a0o Semin\u00e1rio de Pesquisa\u00a0<strong>\u201cUncertainty Propagation and Dynamic Robust Risk Measures\u201d<\/strong>, na \u00e1rea de Economia Aplicada, ministrado pelo<strong>\u00a0<\/strong>Dr. Marlon Ruoso Moresco.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>Abstract: <\/strong>We introduce a framework for quantifying propagation of uncertainty arising in a dynamic setting. Specifically, we define dynamic uncertainty sets designed explicitly for discrete stochastic processes over a finite time horizon. These dynamic uncertainty sets capture the uncertainty surrounding stochastic processes and models, accounting for factors such as distributional ambiguity. Examples of uncertainty sets include those induced by the Wasserstein distance and f-divergences. We further define dynamic robust risk measures as the supremum of all candidates\u2019 risks within the uncertainty set. In an axiomatic way, we discuss conditions on the uncertainty sets that lead to well-known properties of dynamic robust risk measures, such as convexity and coherence. Furthermore, we discuss the necessary and sufficient properties of dynamic uncertainty sets that lead to time-consistencies of dynamic robust risk measures. We find that uncertainty sets stemming from f-divergences lead to strong timeconsistency whereas the Wasserstein distance results in a new time-consistent notion of weak recursiveness. Moreover, we show that a dynamic robust risk measure is strong time-consistent or weak recursive if and only if it admits a recursive representation of one-step conditional robust risk measures arising from static uncertainty sets.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Ocorrer\u00e1 no dia\u00a011\/12\/2024, quarta-feira, \u00e0s 14h\u00a0na sala\u00a0401A \u2013 FCE,\u00a0o Semin\u00e1rio de Pesquisa\u00a0\u201cUncertainty Propagation and Dynamic Robust Risk Measures\u201d, na \u00e1rea de Economia Aplicada, ministrado pelo\u00a0Dr. Marlon Ruoso Moresco. Abstract: We introduce a framework for quantifying propagation of uncertainty arising in a dynamic setting. Specifically, we define dynamic uncertainty sets designed explicitly for discrete stochastic processes [&hellip;]<\/p>\n","protected":false},"author":6,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"default","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","ast-disable-related-posts":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"set","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}},"footnotes":""},"categories":[9,3],"tags":[],"class_list":["post-3360","post","type-post","status-publish","format-standard","hentry","category-economia-aplicada","category-seminarios"],"_links":{"self":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts\/3360","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/users\/6"}],"replies":[{"embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/comments?post=3360"}],"version-history":[{"count":1,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts\/3360\/revisions"}],"predecessor-version":[{"id":3362,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts\/3360\/revisions\/3362"}],"wp:attachment":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/media?parent=3360"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/categories?post=3360"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/tags?post=3360"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}