3 papers
q-fin.RM2025
Empirical estimator of diversification quotient
Xia Han, Liyuan Lin, Mengshi Zhao
The Diversification Quotient (DQ), introduced by Han et al. (2025), is a recently proposed measure of portfolio diversification that quantifies the reduction in a portfolio's risk-…
q-fin.PM2024
Diversification quotient based on expectiles
Xia Han, Liyuan Lin, Hao Wang +1
A diversification quotient (DQ) quantifies diversification in stochastic portfolio models based on a family of risk measures. We study DQ based on expectiles, offering a useful alt…
q-fin.RM2021
Risk Aggregation under Dependence Uncertainty and an Order Constraint
Yuyu Chen, Liyuan Lin, Ruodu Wang
We study the aggregation of two risks when the marginal distributions are known and the dependence structure is unknown, under the additional constraint that one risk is smaller th…