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.RM2021★ 3 cited
Cash-subadditive risk measures without quasi-convexity
Xia Han, Qiuqi Wang, Ruodu Wang +1
In the literature on risk measures, cash subadditivity was proposed to replace cash additivity, motivated by the presence of stochastic or ambiguous interest rates and defaultable…