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q-fin.RM2023
Divergence Based Quadrangle and Applications
Anton Malandii, Siddhartha Gupte, Cheng Peng +1
This paper introduces a novel framework for assessing risk and decision-making in the presence of uncertainty, the \emph{-Divergence Quadrangle}. This approach expands upon the…
q-fin.RM2023
Expectile Quadrangle and Applications
Viktor Kuzmenko, Anton Malandii, Stan Uryasev
The paper explores the concept of the \emph{expectile risk measure} within the framework of the Fundamental Risk Quadrangle (FRQ) theory. According to the FRQ theory, a quadrangle…