18 citations · 20 across the 11 of their papers we have counts for
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q-fin.RM2024★ 2 cited
Risk sharing with Lambda value at risk under heterogeneous beliefs
Peng Liu, Andreas Tsanakas, Yunran Wei
In this paper, we study the risk sharing problem among multiple agents using Lambda Value-at-Risk as their preference functional, under heterogeneous beliefs, where beliefs are rep…
q-fin.MF2024
Factor risk measures
Hirbod Assa, Peng Liu
This paper introduces and studies factor risk measures. While risk measures only rely on the distribution of a loss random variable, in many cases risk needs to be measured relativ…