2 papers
econ.TH2025
Optimal allocations with distortion risk measures and mixed risk attitudes
Mario Ghossoub, Qinghua Ren, Ruodu Wang
We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonoton…
q-fin.PM2024
Diversification quotient based on expectiles
Xia Han, Liyuan Lin, Hao Wang +1
A diversification quotient (DQ) quantifies diversification in stochastic portfolio models based on a family of risk measures. We study DQ based on expectiles, offering a useful alt…