26 citations · 34 across the 3 of their papers we have counts for
3 papers
q-fin.MF2017★ 8 cited
Risk Minimization, Regret Minimization and Progressive Hedging Algorithms
Jie Sun, Xinmin Yang, Qiang Yao +1
This paper begins with a study on the dual representations of risk and regret measures and their impact on modeling multistage decision making under uncertainty. A relationship bet…
q-fin.MF2017
On coherency and other properties of MAXVAR
Jie Sun, Qiang Yao
This paper is concerned with the MAXVAR risk measure on L^2 space. We present an elementary and direct proof of its coherency and averseness. Based on the observation that the MAXV…
math.OC2015★ 26 cited
On the Dual Representation of Coherent Risk Measures
Marcus Ang, Jie Sun, Qiang Yao
A classical result in risk measure theory states that every coherent risk measure has a dual representation as the supremum of certain expected value over a risk envelope. We study…