1 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.RM2022★ 1 cited
Diversification quotients: Quantifying diversification via risk measures
Xia Han, Liyuan Lin, Ruodu Wang
We establish the first axiomatic theory for diversification indices using six intuitive axioms: non-negativity, location invariance, scale invariance, rationality, normalization, a…
q-fin.MF2021★ 1 cited
Risk Concentration and the Mean-Expected Shortfall Criterion
Xia Han, Bin Wang, Ruodu Wang +1
Expected Shortfall (ES, also known as CVaR) is the most important coherent risk measure in finance, insurance, risk management, and engineering. Recently, Wang and Zitikis (2021) p…