3 papers
stat.ME2026
Comparative e-backtests for general risk measures
Zhanyi Jiao, Qiuqi Wang, Yimiao Zhao
Backtesting risk measures is a central task in financial regulation. While standard backtests evaluate whether a forecasting model is statistically consistent with observed losses,…
q-fin.RM2024
Worst-case values of target semi-variances with applications to robust portfolio selection
Jun Cai, Zhanyi Jiao, Tiantian Mao
The expected regret and target semi-variance are two of the most important risk measures for downside risk. When the distribution of a loss is uncertain, and only partial informati…
math.ST2024
Testing mean and variance by e-processes
Yixuan Fan, Zhanyi Jiao, Ruodu Wang
We address the problem of testing conditional mean and conditional variance for non-stationary data. We build e-values and p-values for four types of non-parametric composite hypot…