8 citations · 8 across the 5 of their papers we have counts for
5 papers
Comparative e-backtests for general risk measures
Zhanyi Jiao, Qiuqi Wang, Yimiao Zhao
Backtesting risk measures is a central task in financial regulation. While standard backtests evaluate whether a forecasting model is statistically consistent with observed losses,…
Worst-case values of target semi-variances with applications to robust portfolio selection
Jun Cai, Zhanyi Jiao, Tiantian Mao
The expected regret and target semi-variance are two of the most important risk measures for downside risk. When the distribution of a loss is uncertain, and only partial informati…
Testing mean and variance by e-processes
Yixuan Fan, Zhanyi Jiao, Ruodu Wang
We address the problem of testing conditional mean and conditional variance for non-stationary data. We build e-values and p-values for four types of non-parametric composite hypot…
Anonymized risk sharing
Zhanyi Jiao, Steven Kou, Yang Liu +1
Anonymized risk sharing requires no information about agents' preferences, identities, private operations, or realized losses. It is especially relevant in the digital economy, wit…
A reverse ES (CVaR) optimization formula
Yuanying Guan, Zhanyi Jiao, Ruodu Wang
The celebrated Expected Shortfall (ES) optimization formula implies that ES at a fixed probability level is the minimum of a linear real function plus a scaled mean excess function…