18 citations · 23 across the 14 of their papers we have counts for
4 papers · 1 filter
Invariant Modeling for Joint Distributions
Christopher P. Chambers, Yusufcan Masatlioglu, Ruodu Wang
A common theme underlying many problems in statistics and economics involves the determination of a systematic method of selecting a joint distribution consistent with a specified…
Eliciting reference measures of law-invariant functionals
Felix-Benedikt Liebrich, Ruodu Wang
Law-invariant functionals are central to risk management and assign identical values to random prospects sharing the same distribution under an atomless reference probability measu…
Rating criteria, risk measures, and risk consistency
Nan Guo, Ruodu Wang, Chenxi Xia +1
Categorical ratings are widely used by investors to screen financial products, such as defaultable securities and investment funds. We model rating criteria as discrete transforms…
Quadratic-form Optimal Transport
Ruodu Wang, Zhenyuan Zhang
We introduce the framework of quadratic-form optimal transport (QOT), whose transport cost has the form for some coupling between two m…