2 citations · 3 across the 2 of their papers we have counts for
2 papers
math.OC2023★ 1 cited
Multi-Attribute Utility Preference Robust Optimization: A Continuous Piecewise Linear Approximation Approach
Qiong Wu, Sainan Zhang, Wei Wang +1
In this paper, we consider a multi-attribute decision making problem where the decision maker's (DM's) objective is to maximize the expected utility of outcomes but the true utilit…
q-fin.RM2020★ 2 cited
Quantitative Statistical Robustness for Tail-Dependent Law Invariant Risk Measures
Wei Wang, Huifu Xu, Tiejun Ma
When estimating the risk of a financial position with empirical data or Monte Carlo simulations via a tail-dependent law invariant risk measure such as the Conditional Value-at-Ris…