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q-fin.RM2023
Monotonic mean-deviation risk measures
Xia Han, Ruodu Wang, Qinyu Wu
Mean-deviation models, along with the existing theory of coherent risk measures, are well studied in the literature. In this paper, we characterize monotonic mean-deviation (risk)…
q-fin.RM2022★ 4 cited
An unexpected stochastic dominance: Pareto distributions, dependence, and diversification
Yuyu Chen, Paul Embrechts, Ruodu Wang
We find the perhaps surprising inequality that the weighted average of independent and identically distributed Pareto random variables with infinite mean is larger than one such ra…