Speaker: Alexander Schied, Professor and Munich Re Chair in Stochastic Finance, Dept. of Statistics and Actuarial Science, University of Waterloo Abstract: We investigate Lambda Value-at-Risk (ΛVaR) under ambiguity, where the ambiguity is represented by a family of probability measures. We establish that for increasing Lambda functions, the robust (i.e., worst-case) ΛVaR under such an ambiguity […]