4 citations · 4 across the 2 of their papers we have counts for
2 papers
math.OC2021
A Framework of State-dependent Utility Optimization with General Benchmarks
Zongxia Liang, Yang Liu, Litian Zhang
Benchmarks in the utility function have various interpretations, including performance guarantees and risk constraints in fund contracts and reference levels in cumulative prospect…
q-fin.RM2020★ 4 cited
Convolution Bounds on Quantile Aggregation
Jose Blanchet, Henry Lam, Yang Liu +1
Quantile aggregation with dependence uncertainty has a long history in probability theory with wide applications in finance, risk management, statistics, and operations research. U…