4 citations · 13 across the 11 of their papers we have counts for
Showing 2020Show all
2 papers · 1 filter
q-fin.MF2020★ 3 cited
Monetary Risk Measures
Guangyan Jia, Jianming Xia, Rongjie Zhao
In this paper, we study general monetary risk measures (without any convexity or weak convexity). A monetary (respectively, positively homogeneous) risk measure can be characterize…
q-fin.MF2020
Continuous-Time Risk Contribution of the Terminal Variance and its Related Risk Budgeting Problem
Mengjin Zhao, Guangyan Jia
To achieve robustness of risk across different assets, risk parity investing rules, a particular state of risk contributions, have grown in popularity over the previous few decades…