15 papers
E-Backtesting Expected Shortfall without Value-at-Risk Forecasts under Time-series Models
Ruodu Wang, Jingcheng Yu
Expected Shortfall (ES) measures the average size of tail losses. Its sequential backtests typically also require a Value-at-Risk (VaR) forecast. We develop two e-backtesting metho…
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 agents. An interior state is a unilateral no-trade equilibrium exact…
Confidence intervals for causal effects in sequential decision making
Vladimir Vovk, Ruodu Wang
We derive confidence intervals and confidence sequences for causal effects in situations where the back-door criterion is applicable. Our tightest confidence intervals hold in the…
Submodular risk measures
Ruodu Wang, Jingcheng Yu
We study submodularity for law-invariant functionals, with particular attention to convex risk measures. Expected losses are modular, and certainty equivalents are submodular exact…
Adaptive Window Selection for Financial Risk Forecasting
Yinhuan Li, Chenxin Lyu, Ruodu Wang
Risk forecasts in financial regulation and internal management are calculated through historical data. The unknown structural changes of financial data pose a substantial challenge…
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…
Risk-insurance parity
Benjamin Côté, Ruodu Wang, Qinyu Wu
Risk aversion and insurance are two prominent and interconnected concepts in economics and finance. To explore their fundamental connection, we introduce risk-insurance parity, whi…
Higher-order Gini indices: An axiomatic approach
Xia Han, Ruodu Wang, Qinyu Wu
Via an axiomatic approach, we characterize the family of n-th order Gini deviation, defined as the expected range over n independent draws from a distribution, to quantify joint di…
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…
On convex order and supermodular order without finite mean
Benjamin Côté, Ruodu Wang
Many results on the convex order in the literature were stated for random variables with finite mean. For instance, a fundamental result in dependence modeling is that the sum of a…
Prudence and higher-order risk attitudes in the rank-dependent utility model
Ruodu Wang, Qinyu Wu
We obtain a full characterization of consistency with respect to higher-order stochastic dominance within the rank-dependent utility model. Different from the results in the litera…
The reference interval in higher-order stochastic dominance
Ruodu Wang, Qinyu Wu
Given two random variables taking values in a bounded interval, we study whether one dominates the other in higher-order stochastic dominance depends on the reference interval in t…
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…
Max- and min-stability under first-order stochastic dominance
Christopher Chambers, Alan Miller, Ruodu Wang +1
Max-stability is the property that taking a maximum between two inputs results in a maximum between two outputs. We study max-stability with respect to first-order stochastic domin…
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…