2 papers
q-fin.RM2026
On Prudence of Risk Measures
Niushan Gao, Denny H. Leung, Foivos Xanthos
Prudence is a stability property of risk functionals recently introduced by Wang and Zitikis and subsequently studied by Amarante and Liebrich. In this paper, we first establish ge…
q-fin.RM2024
A note on continuity and asymptotic consistency of measures of risk and variability
Niushan Gao, Foivos Xanthos
In this short note, we show that every convex, order bounded above functional on a Frechet lattice is automatically norm continuous. This improves a result in \cite{RS06} and appli…