4 citations · 14 across the 7 of their papers we have counts for
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q-fin.MF2021★ 1 cited
Optimal Investment with Risk Controlled by Weighted Entropic Risk Measures
Jianming Xia
A risk measure that is consistent with the second-order stochastic dominance and additive for sums of independent random variables can be represented as a weighted entropic risk me…
q-fin.MF2020★ 3 cited
Monetary Risk Measures
Guangyan Jia, Jianming Xia, Rongjie Zhao
In this paper, we study general monetary risk measures (without any convexity or weak convexity). A monetary (respectively, positively homogeneous) risk measure can be characterize…