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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…
q-fin.MF2025
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…
q-fin.MF2024
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…