2 papers
q-fin.MF2026
Lambda Expected Shortfall
Fabio Bellini, Muqiao Huang, Qiuqi Wang +1
The Lambda Value-at-Risk (Lambda-VaR) is a generalization of the Value-at-Risk (VaR), which has been actively studied in quantitative finance. Over the past two decades, the Expect…
econ.TH2025
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…