1 citations · 5 across the 13 of their papers we have counts for
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Invariant correlation under marginal transforms
Takaaki Koike, Liyuan Lin, Ruodu Wang
A useful property of independent samples is that their correlation remains the same after applying marginal transforms. This invariance property plays a fundamental role in statist…
Pairwise counter-monotonicity
Jean-Gabriel Lauzier, Liyuan Lin, Ruodu Wang
We systematically study pairwise counter-monotonicity, an extremal notion of negative dependence. A stochastic representation and an invariance property are established for this de…
Risk sharing, measuring variability, and distortion riskmetrics
Jean-Gabriel Lauzier, Liyuan Lin, Ruodu Wang
We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone…
Diversification quotients based on VaR and ES
Xia Han, Liyuan Lin, Ruodu Wang
The diversification quotient (DQ) is recently introduced for quantifying the degree of diversification of a stochastic portfolio model. It has an axiomatic foundation and can be de…