29 citations · 77 across the 21 of their papers we have counts for
23 papers
On Prudence of Risk Measures
Niushan Gao, Denny H. Leung, Foivos Xanthos
Prudence is a stability property of risk functionals recently introduced by Wang and Zitikis and subsequently studied by Amarante and Liebrich. In this paper, we first establish ge…
A note on continuity and asymptotic consistency of measures of risk and variability
Niushan Gao, Foivos Xanthos
In this short note, we show that every convex, order bounded above functional on a Frechet lattice is automatically norm continuous. This improves a result in \cite{RS06} and appli…
Do law-invariant linear functionals collapse to the mean?
Shengzhong Chen, Niushan Gao, Denny H. Leung +1
In this note, we show that, on a wide range of rearrangement-invariant spaces, a law-invariant bounded linear functional is a scalar multiple of the expectation. We also construct…
Automatic Fatou Property of Law-invariant Risk Measures
Shengzhong Chen, Niushan Gao, Denny Leung +1
In the paper we investigate automatic Fatou property of law-invariant risk measures on a rearrangement-invariant function space other than . The main result…
The order-type Banach-Saks properties
Made Tantrawan, Denny H. Leung, Niushan Gao
The study of the Banach-Saks property in Banach spaces has a long and illustrious history. Of late, motivated by applications in financial mathematics, interest has arisen in the B…
A refined determinantal inequality for correlation matrices
Niushan Gao, Alexandra Kirillova, Zihao Tong
Olkin [3] obtained a neat upper bound for the determinant of a correlation matrix. In this note, we present an extension and improvement of his result.