From the 1 of 12 linked papers with an AI index.
12 papers
Disappointment Aversion and Expectiles
Fabio Bellini, Fabio Maccheroni, Tiantian Mao +2
The paper reformulates Gul’s disappointment aversion model within a Savage decision‑theoretic framework, introduces new axioms, and links the model to expectiles and asymmetric lea…
Confidence intervals for causal effects in sequential decision making
Vladimir Vovk, Ruodu Wang
We derive confidence intervals and confidence sequences for causal effects in situations where the back-door criterion is applicable. Our tightest confidence intervals hold in the…
Adaptive Window Selection for Financial Risk Forecasting
Yinhuan Li, Chenxin Lyu, Ruodu Wang
Risk forecasts in financial regulation and internal management are calculated through historical data. The unknown structural changes of financial data pose a substantial challenge…
Submodular risk measures
Ruodu Wang, Jingcheng Yu
We study submodularity for law-invariant functionals, with particular attention to convex risk measures. Expected losses are modular, and certainty equivalents are submodular exact…
On convex order and supermodular order without finite mean
Benjamin Côté, Ruodu Wang
Many results on the convex order in the literature were stated for random variables with finite mean. For instance, a fundamental result in dependence modeling is that the sum of a…
Lambda Expected Shortfall
Fabio Bellini, Muqiao Huang, Qiuqi Wang +1
The Lambda Value-at-Risk (Lambda-VaR) is a generalization of the Value-at-Risk (VaR), which has been actively studied in quantitative finance. Over the past two decades, the Expect…