4 papers · 1 filter
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…