4 papers
Maximum principle for robust utility optimization via Tsallis relative entropy
Xueying Huang, Peng Luo, Dejian Tian
This paper investigates an optimal consumption-investment problem featuring recursive utility via Tsallis relative entropy. We establish a fundamental connection between this optim…
Robust distortion risk measures with linear penalty under distribution uncertainty
Yuxin Du, Dejian Tian, Hui Zhang
The paper investigates the robust distortion risk measure with linear penalty function under distribution uncertainty. The distribution uncertainties are characterized by predeterm…
Dynamic star-shaped risk measures and -expectations
Dejian Tian, Xunlian Wang
Motivated by the results of static monetary or star-shaped risk measures, the paper investigates the representation theorems in the dynamic framework. We show that dynamic monetary…
Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty
Weiwei Li, Dejian Tian
The paper investigates the robust optimized certainty equivalents and analyzes the relevant properties of them as risk measures for loss positions with distribution uncertainty. On…