2 papers
q-fin.RM2024
A new characterization of second-order stochastic dominance
Yuanying Guan, Muqiao Huang, Ruodu Wang
We provide a new characterization of second-order stochastic dominance, also known as increasing concave order. The result has an intuitive interpretation that adding a risk with n…
q-fin.RM2022
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…