3 papers
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…
math.ST2024
Estimation of the Adjusted Standard-deviatile for Extreme Risks
Haoyu Chen, Tiantian Mao, Fan Yang
In this paper, we modify the Bayes risk for the expectile, the so-called variantile risk measure, to better capture extreme risks. The modified risk measure is called the adjusted…
math.OC2022
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.…