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q-fin.RM2024
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…
q-fin.RM2022★ 5 cited
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…