1 citations · 2 across the 6 of their papers we have counts for
4 papers · 1 filter
Divergence Based Quadrangle and Applications
Anton Malandii, Siddhartha Gupte, Cheng Peng +1
This paper introduces a novel framework for assessing risk and decision-making in the presence of uncertainty, the \emph{-Divergence Quadrangle}. This approach expands upon the…
Expectile Quadrangle and Applications
Viktor Kuzmenko, Anton Malandii, Stan Uryasev
The paper explores the concept of the \emph{expectile risk measure} within the framework of the Fundamental Risk Quadrangle (FRQ) theory. According to the FRQ theory, a quadrangle…
Mixture Quantiles Estimated by Constrained Linear Regression
Cheng Peng, Yizhou Li, Stan Uryasev
We study the problem of modeling univariate distributions via their quantile functions. We introduce a flexible family of distributions whose quantile function is a linear combinat…
Factor Model of Mixtures
Cheng Peng, Stanislav Uryasev
This paper proposes a new approach to estimating the distribution of a response variable conditioned on observing some factors. The proposed approach possesses desirable properties…