5 papers
Equilibrium in closed constant-function market maker economies
Muqiao Huang, Ruodu Wang, Yiyun Wang
We study equilibria in a closed, fee-free constant-function market maker (CFMM) economy with two assets and two traders. An interior state is a unilateral no-trade equilibrium exac…
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…
Partial comonotonicity and distortion riskmetrics
Muqiao Huang
We establish a connection between dependence structures and subclasses of distortion riskmetrics under which the latter are additive. A new notion of positive dependence, called pa…
Coherent risk measures and uniform integrability
Muqiao Huang, Ruodu Wang
We establish a profound connection between coherent risk measures, a prominent object in quantitative finance, and uniform integrability, a fundamental concept in probability theor…
A new characterization of second-order stochastic dominance
Yuanying Guan, Muqiao Huang, Ruodu Wang
We provide a new characterization of second-order stochastic dominance, also known as increasing concave order. The result has an intuitive interpretation that adding a risk with n…