5 papers · 1 filter
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…