3 papers
q-fin.MF2025
Maximum principle for robust utility optimization via Tsallis relative entropy
Xueying Huang, Peng Luo, Dejian Tian
This paper investigates an optimal consumption-investment problem featuring recursive utility via Tsallis relative entropy. We establish a fundamental connection between this optim…
q-fin.RM2025
Robust distortion risk measures with linear penalty under distribution uncertainty
Yuxin Du, Dejian Tian, Hui Zhang
The paper investigates the robust distortion risk measure with linear penalty function under distribution uncertainty. The distribution uncertainties are characterized by predeterm…
q-fin.RM2024
Set-valued Star-Shaped Risk Measures
Bingchu Nie, Dejian Tian, Long Jiang
In this paper, we introduce a new class of set-valued risk measures, named set-valued star-shaped risk measures. Motivated by the results of scalar monetary and star-shaped risk me…