26 citations · 54 across the 15 of their papers we have counts for
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q-fin.MF2017★ 8 cited
Risk Minimization, Regret Minimization and Progressive Hedging Algorithms
Jie Sun, Xinmin Yang, Qiang Yao +1
This paper begins with a study on the dual representations of risk and regret measures and their impact on modeling multistage decision making under uncertainty. A relationship bet…
q-fin.MF2017
On coherency and other properties of MAXVAR
Jie Sun, Qiang Yao
This paper is concerned with the MAXVAR risk measure on L^2 space. We present an elementary and direct proof of its coherency and averseness. Based on the observation that the MAXV…