5 citations · 6 across the 15 of their papers we have counts for
15 papers
Harnessing Heterogeneous Data for Conditional Optimization via Optimal Transport
Jonathan Yu-Meng Li, Qinyu Wu
Conditional optimization tailors decisions to contextual or event information, but its practical use is often limited by the difficulty of learning the relevant conditional distrib…
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…
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…
Disappointment concordance and duet expectiles
Fabio Bellini, Tiantian Mao, Ruodu Wang +1
We introduce an axiom of disappointment-concordance (disco) aversion for a preference relation over acts in an Anscombe-Aumann setting. This axiom means that the decision maker, fa…
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…
Monotonic mean-deviation risk measures
Xia Han, Ruodu Wang, Qinyu Wu
Mean-deviation models, along with the existing theory of coherent risk measures, are well studied in the literature. In this paper, we characterize monotonic mean-deviation (risk)…
Risk Aversion and Insurance Propensity
Fabio Maccheroni, Massimo Marinacci, Ruodu Wang +1
We provide a new foundation of risk aversion by showing that this attitude is fully captured by the propensity to seize insurance opportunities. Our foundation, which applies to al…
Conditional generalized quantiles based on expected utility model and equivalent characterization of properties
Qinyu Wu, Fan Yang, Ping Zhang
As a counterpart to the (static) risk measures of generalized quantiles and motivated by Bellini et al. (2018), we propose a new kind of conditional risk measure called conditional…
On Generalization and Regularization via Wasserstein Distributionally Robust Optimization
Qinyu Wu, Jonathan Yu-Meng Li, Tiantian Mao
Wasserstein distributionally robust optimization (DRO) has gained prominence in operations research and machine learning as a powerful method for achieving solutions with favorable…
Probabilistic risk aversion for generalized rank-dependent functions
Ruodu Wang, Qinyu Wu
Probabilistic risk aversion, defined through quasi-convexity in probabilistic mixtures, is a common useful property in decision analysis. We study a general class of non-monotone m…
Model Aggregation for Risk Evaluation and Robust Optimization
Tiantian Mao, Ruodu Wang, Qinyu Wu
We introduce a new approach for prudent risk evaluation based on stochastic dominance, which will be called the model aggregation (MA) approach. In contrast to the classic worst-ca…
Risk Concentration and the Mean-Expected Shortfall Criterion
Xia Han, Bin Wang, Ruodu Wang +1
Expected Shortfall (ES, also known as CVaR) is the most important coherent risk measure in finance, insurance, risk management, and engineering. Recently, Wang and Zitikis (2021) p…