8 citations · 13 across the 7 of their papers we have counts for
7 papers
Risk diversification for infinitely divisible distributions
Peng Liu, Tiantian Mao
In this paper, we study the diversification properties of convex combinations of iid infinitely divisible random variables. For Lévy processes with bounded variation sample paths,…
Asymptotic Probabilities of Attaining the Maximum in Heterogeneous Gaussian Samples
Chunxu Zhang, Baiqi Miao, Tiantian Mao
We study asymptotic probabilities of attaining the maximum in heterogeneous Gaussian samples. In the two-group setting, the first sample has variance and size , while the…
Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks
Tiantian Mao, Gilles Stupfler, Fan Yang
We study a general risk measure called the generalized shortfall risk measure, which was first introduced in Mao and Cai (2018). It is proposed under the rank-dependent expected ut…
On Generalization and Regularization via Wasserstein Distributionally Robust Optimization
Qinyu Wu, Jonathan Yu-Meng Li, Tiantian Mao
Wasserstein distributionally robust optimization (DRO) has gained prominence in operations research and machine learning as a powerful method for achieving solutions with favorable…
A General Wasserstein Framework for Data-driven Distributionally Robust Optimization: Tractability and Applications
Jonathan Yu-Meng Li, Tiantian Mao
Data-driven distributionally robust optimization is a recently emerging paradigm aimed at finding a solution that is driven by sample data but is protected against sampling errors.…
Model Aggregation for Risk Evaluation and Robust Optimization
Tiantian Mao, Ruodu Wang, Qinyu Wu
We introduce a new approach for prudent risk evaluation based on stochastic dominance, which will be called the model aggregation (MA) approach. In contrast to the classic worst-ca…
Sums of Standard Uniform Random Variables
Tiantian Mao, Bin Wang, Ruodu Wang
In this paper, we analyze the set of all possible aggregate distributions of the sum of standard uniform random variables, a simply stated yet challenging problem in the literature…