The Operations Research and Financial Engineering Laboratory is headed by Professor Zachary Feinstein.  The focus of the lab is the new field of set-valued risk measures. These functions allow for the calculation of risk in markets with transaction costs. In particular, the ORFE Lab is working on defining set-valued dynamic risk measures, that is how the risk changes with time. In addition, the ORFE Lab is interested in defining additional useful properties for dynamic risk measures in this expanded framework, and is currently developing algorithms for calculating such functions. The Lab is further studying the application of multivariate risk measures to the study of systemic risk in finance and other fields, such as power systems. Along these lines the Lab is studying network models for the financial system.

Members:

Professor Zachary Feinstein Professor Zachary Feinstein

Address: 1 Brookings Drive,
                    Campus Box 1042
                    St. Louis, MO 63130
Office:      Green Hall 2160B
Lab:           Green Hall 2157
E-mail:     zfeinstein (at) wustl.edu
Phone:     314-935-7536

Curriculum Vitae:

Washington University in St. Louis (2014-Present):
    Assistant Professor in Department of Electrical and Systems Engineering
    Assistant Professor (Courtesy) in Department of Mathematics
    Faculty Scholar in Institute for Public Health
Princeton University (2009-2014):
    PhD in Operations Research and Financial Engineering (May 2014)
    MA in Operations Research and Financial Engineering (June 2011)

Tathagata Banerjee Tathagata Banerjee
PhD Candidate
Office: Green Hall 2157
Alex Bernstein Alex Bernstein
MSSSM Candidate
Office: Green Hall 2157