2 papers
econ.TH2026
Diversification Preferences and Risk Attitudes
Xiangxin He, Fangda Liu, Ruodu Wang
Portfolio diversification is a cornerstone of modern finance, while risk aversion is central to decision theory; both concepts are long-standing and foundational. We investigate th…
q-fin.ST2025
Elicitability and identifiability of tail risk measures
Tobias Fissler, Fangda Liu, Ruodu Wang +1
Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, with Value-at-Risk, Expected Shortfall and Range Value-at…