5 papers
Sharp bounds for products of dependent random variables
Christopher Blier-Wong, Jinghui Chen
We study the sharp bounds of when the univariate marginal distributions are known, but the dependence structure between them is unspecified. Maximizing…
Static marginal expected shortfall: Systemic risk measurement under dependence uncertainty
Jinghui Chen, Edward Furman, X. Sheldon Lin
Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 202…
Mean-tail Gini framework for optimal portfolio selection
Jinghui Chen, Edward Furman, Stephano Ricci +1
The limitations of the traditional mean-variance (MV) efficient frontier, as introduced by Markowitz (1952), have been extensively documented in the literature. Specifically, the a…
Higher moments under dependence uncertainty with applications in insurance
Carole Bernard, Jinghui Chen, Steven Vanduffel
Recent studies have highlighted the significance of higher-order moments - such as coskewness - in portfolio optimization within the financial domain. This paper extends that focus…
Modeling coskewness with zero correlation and correlation with zero coskewness
Carole Bernard, Jinghui Chen, Steven Vanduffel
This paper shows that one needs to be careful when making statements on potential links between correlation and coskewness. Specifically, we first show that, on the one hand, it is…