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Found 8 papers, 0 papers with code
Max-stability under first-order stochastic dominance
Max-stability is the property that taking a maximum between two inputs results in a maximum between two outputs.
Monotonic mean-deviation risk measures
The form is a combination of the deviation-related functional and the expectation, and such measures belong to the class of consistent risk measures.
Risk Aversion and Insurance Propensity
We then extend the analysis to comparative risk aversion by showing that the notion of Yaari (1969) corresponds to comparative propension to full insurance, while the stronger notion of Ross (1981) corresponds to comparative propension to partial insurance.
Conditional generalized quantiles based on expected utility model and equivalent characterization of properties
As a counterpart to the (static) risk measures of generalized quantiles and motivated by Bellini et al. (2018), we propose a new kind of conditional risk measure called conditional generalized quantiles.
On Generalization and Regularization via Wasserstein Distributionally Robust Optimization
Two compelling explanations for the success are the generalization bounds derived from Wasserstein DRO and the equivalency between Wasserstein DRO and the regularization scheme commonly applied in machine learning.
Quasi-convexity in mixtures for generalized rank-dependent functions
Quasi-convexity in probabilistic mixtures is a common and useful property in decision analysis.
Model Aggregation for Risk Evaluation and Robust Optimization
The MA risk evaluation can be computed through explicit formulas in the lattice theory of stochastic dominance, and under some standard assumptions, the MA robust optimization admits a convex-program reformulation.
Risk Concentration and the Mean-Expected Shortfall Criterion
Recently, Wang and Zitikis (2021) put forward four economic axioms for portfolio risk assessment and provide the first economic axiomatic foundation for the family of ES.
