3 papers
q-fin.RM2025
Robust distortion risk metrics and portfolio optimization
Peng Liu, Steven Vanduffel, Yi Xia
We establish sharp upper and lower bounds for distortion risk metrics under distributional uncertainty. The uncertainty sets are characterized by four key features of the underlyin…
q-fin.RM2025
Higher moments under dependence uncertainty with applications in insurance
Carole Bernard, Jinghui Chen, Steven Vanduffel
Recent studies have highlighted the significance of higher-order moments - such as coskewness - in portfolio optimization within the financial domain. This paper extends that focus…
math.PR2024
Modeling coskewness with zero correlation and correlation with zero coskewness
Carole Bernard, Jinghui Chen, Steven Vanduffel
This paper shows that one needs to be careful when making statements on potential links between correlation and coskewness. Specifically, we first show that, on the one hand, it is…