6 papers
Validity and Power of Heavy-Tailed Combination Tests under Asymptotic Dependence
Lin Gui, Tiantian Mao, Jingshu Wang +1
Heavy-tailed combination tests, such as the Cauchy combination test and harmonic mean p-value method, are widely used for testing global null hypotheses by aggregating dependent p-…
Disappointment Aversion and Expectiles
Fabio Bellini, Fabio Maccheroni, Tiantian Mao +2
This paper recasts Gul's (1991) theory of disappointment aversion in a Savage framework, with general outcomes, new explicit axioms of disappointment aversion, and novel explicit r…
Reconciling Risk-Aversion Paradoxes in the Distribution-Free Newsvendor Problem: Scarf's Rule Meets Dual Utility
Jonathan Yu-Meng Li, Tiantian Mao, Reza Valimoradi
How should a risk-averse newsvendor order optimally under distributional ambiguity? Attempts to extend Scarf's celebrated distribution-free ordering rule using risk measures have l…
Quantiles under ambiguity and risk sharing
Peng Liu, Tiantian Mao, Ruodu Wang
Choquet capacities and integrals are central concepts in decision making under ambiguity or model uncertainty, pioneered by Schmeidler. Motivated by risk optimization problems for…
Worst-case values of target semi-variances with applications to robust portfolio selection
Jun Cai, Zhanyi Jiao, Tiantian Mao
The expected regret and target semi-variance are two of the most important risk measures for downside risk. When the distribution of a loss is uncertain, and only partial informati…
Disappointment concordance and duet expectiles
Fabio Bellini, Tiantian Mao, Ruodu Wang +1
We introduce an axiom of disappointment-concordance (disco) aversion for a preference relation over acts in an Anscombe-Aumann setting. This axiom means that the decision maker, fa…