9 papers
Extremal Mean-Variance Functionals over Wasserstein Balls: Applications to Risk Sharing
Wenjun Jiang, Yiying Zhang, Zhenfeng Zou
We characterize the worst- and best-case values of a mean-variance functional over a 2-Wasserstein ball. Using quantile representations and the geometry of attainable means and sta…
Testing Equality of Distributions via Repeatedly Integrated Quantile Metrics Under Weak Moment Conditions
Zhenfeng Zou, Meng Guan, Panxu Yuan +1
Testing whether two independent samples arise from the same underlying distribution is a fundamental statistical problem. We propose a new class of two-sample distribution tests ba…
Lambda R{é}nyi entropic value-at-risk
Zhenfeng Zou
This paper introduces the Lambda extension of the Rényi entropic value-at-risk (-EVaR), a novel family of risk measures that unifies the flexible confidence level structure of t…
Moment inequalities for higher-order (inverse) stochastic dominance
Meng Guan, Zhenfeng Zou, Taizhong Hu
Stochastic dominance has been studied extensively, particularly in the finance and economics literature. In this paper, we obtain two results. First, necessary conditions for highe…
Further Developments on Stochastic Dominance for Convex Combinations of Infinite-Mean Random Variables
Keyi Zeng, Zhenfeng Zou, Yuting Su +1
In recent years, stochastic dominance for independent and identically distributed (iid) infinite-mean random variables has received considerable attention. The literature has ident…
Extreme-case Range Value-at-Risk under Increasing Failure Rate
Yuting Su, Taizhong Hu, Zhenfeng Zou
The extreme cases of risk measures, when considered within the context of distributional ambiguity, provide significant guidance for practitioners specializing in risk management o…
Negative Dependence in Knockout Tournaments
Yuting Su, Zhenfeng Zou, Taizhong Hu
Negative dependence in tournaments has received attention in the literature. The property of negative orthant dependence (NOD) was proved for different tournament models with a spe…
Stochastic dominance for linear combinations of infinite-mean risks
Yuyu Chen, Taizhong Hu, Seva Shneer +1
In this paper, we establish a sufficient condition to compare linear combinations of independent and identically distributed (iid) infinite-mean random variables under usual stocha…
Diversification for infinite-mean Pareto models without risk aversion
Yuyu Chen, Taizhong Hu, Ruodu Wang +1
We study stochastic dominance between portfolios of independent and identically distributed (iid) extremely heavy-tailed (i.e., infinite-mean) Pareto random variables. With the not…