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.
|Professor Zachary Feinstein
Address: 1 Brookings Drive,
Washington University in St. Louis (2014-Present):
Office: Green Hall 2157
Department of Statistics and Applied Probability
University of California, Santa Barbara