From the 1 of 9 linked papers with an AI index.
9 papers
Harnessing Heterogeneous Data for Conditional Optimization via Optimal Transport
Jonathan Yu-Meng Li, Qinyu Wu
Conditional optimization tailors decisions to contextual or event information, but its practical use is often limited by the difficulty of learning the relevant conditional distrib…
Disappointment Aversion and Expectiles
Fabio Bellini, Fabio Maccheroni, Tiantian Mao +2
The paper reformulates Gul’s disappointment aversion model within a Savage decision‑theoretic framework, introduces new axioms, and links the model to expectiles and asymmetric lea…
Risk-insurance parity
Benjamin Côté, Ruodu Wang, Qinyu Wu
Risk aversion and insurance are two prominent and interconnected concepts in economics and finance. To explore their fundamental connection, we introduce risk-insurance parity, whi…
Prudence and higher-order risk attitudes in the rank-dependent utility model
Ruodu Wang, Qinyu Wu
We obtain a full characterization of consistency with respect to higher-order stochastic dominance within the rank-dependent utility model. Different from the results in the litera…
Higher-order Gini indices: An axiomatic approach
Xia Han, Ruodu Wang, Qinyu Wu
Via an axiomatic approach, we characterize the family of n-th order Gini deviation, defined as the expected range over n independent draws from a distribution, to quantify joint di…
Max- and min-stability under first-order stochastic dominance
Christopher Chambers, Alan Miller, Ruodu Wang +1
Max-stability is the property that taking a maximum between two inputs results in a maximum between two outputs. We study max-stability with respect to first-order stochastic domin…