activity
20172025
most citedRegret Bounds for Markov Decision Processes with Recursive Optimized Certainty Equivalents

5 citations · 5 across the 6 of their papers we have counts for

collaborators
Showing q-fin.RMShow all

1 paper · 1 filter

q-fin.RM2017

Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk

Xue Dong He, Xianhua Peng

The regulator is interested in proposing a capital adequacy test by specifying an acceptance set for firms' capital positions at the end of a given period. This set needs to be sur…