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q-fin.RM2023
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)…
q-fin.RM2022★ 5 cited
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…