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econ.TH2025
Mean-tail Gini framework for optimal portfolio selection
Jinghui Chen, Edward Furman, Stephano Ricci +1
The limitations of the traditional mean-variance (MV) efficient frontier, as introduced by Markowitz (1952), have been extensively documented in the literature. Specifically, the a…
q-fin.RM2025
Static marginal expected shortfall: Systemic risk measurement under dependence uncertainty
Jinghui Chen, Edward Furman, X. Sheldon Lin
Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 202…