no code implementations • 20 Feb 2024 • Yuanying Guan, Muqiao Huang, Ruodu Wang
We provide a new characterization of second-order stochastic dominance, also known as increasing concave order.
no code implementations • 4 Mar 2022 • Yuanying Guan, Zhanyi Jiao, Ruodu Wang
The celebrated Expected Shortfall (ES) optimization formula implies that ES at a fixed probability level is the minimum of a linear real function plus a scaled mean excess function.