77 citations · 109 across the 22 of their papers we have counts for
Showing math.OCShow all
2 papers · 1 filter
math.OC2023
A Rank-Dependent Theory for Decision under Risk and Ambiguity
Roger J. A. Laeven, Mitja Stadje
This paper axiomatizes, in a two-stage setup, a new theory for decision under risk and ambiguity. The axiomatized preference relation on the space of random v…
math.OC2020
On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization
An Chen, Mitja Stadje, Fangyuan Zhang
We study a non-concave optimization problem in which a financial company maximizes the expected utility of the surplus under a risk-based regulatory constraint. For this problem, w…