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econ.TH2024
Disappointment concordance and duet expectiles
Fabio Bellini, Tiantian Mao, Ruodu Wang +1
We introduce an axiom of disappointment-concordance (disco) aversion for a preference relation over acts in an Anscombe-Aumann setting. This axiom means that the decision maker, fa…
q-fin.ST2024★ 1 cited
Elicitability and identifiability of tail risk measures
Tobias Fissler, Fangda Liu, Ruodu Wang +1
Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, with Value-at-Risk, Expected Shortfall and Range Value-at…