A gambler's approach to gambling the globe with Aaron Brown, AQR Capital Management
Abstract- This talk will parallel a Jones Seminar given three years ago by Professor Mark Borsuk describing a decision theory approach to climate change policy. At each stage, it will contrast the decision theory mathematics to the risk management mathematics. The original talk began with considering what the optimal choices should be for a beneficent, omnipotent dictator and at the end suggested ongoing extensions to a game-theoretic analysis of agent-based treaty processes. The risk management approach begins by looking for social games-perhaps treaty processes, but they could also be financial markets, liability structures, insurance businesses, adversarial processes or other institutions that will result in good decisions, without trying to guess what those decisions should be. This allows it to bypass most of the technical complexity, data, and assumptions of the decision theoretic approach, which means this portion of the talk will be shorter than the original. The remaining time will be used for a discussion of how to integrate the two perspectives into a policy that reflects the best available scientific knowledge with a social process that leads to cheerful, productive, rational, self-correcting consensus rather than infighting, inaction and inferior outcomes.
Biography- Aaron is a Managing Director and Head of AQR Financial Market Research. In this role, Aaron is focused on developing research and educational resources to address the complex issues facing investors today. Previously, Aaron was AQR’s Chief Risk Officer, conducting independent oversight and monitoring of the risks assumed by portfolio managers. In February 2012, the Global Association of Risk Professionals named Aaron Risk Manager of the Year. He is the author of Financial Risk Management for Dummies (Wiley 2015), Red-Blooded Risk (Wiley 2012) and The Poker Face of Wall Street (Wiley 2006), which BusinessWeek selected among 10 best books of 2006. He also co-wrote A World of Chance (Cambridge University Press 2008). Prior to AQR, Aaron was an executive director in risk methodology at Morgan Stanley. He earned an S.B. in applied mathematics from Harvard University and an M.B.A. from the University of Chicago.
Events are free and open to the public unless otherwise noted.