no code implementations • 29 Aug 2022 • Guangyan Jia, Mengjin Zhao
Under financially reasonable assumptions, we give the correspondence between conditional coherent risk measures and generalized deviation measures.
no code implementations • 12 Dec 2020 • Guangyan Jia, Jianming Xia, Rongjie Zhao
A monetary (respectively, positively homogeneous) risk measure can be characterized as the lower envelope of a family of convex (respectively, coherent) risk measures.
no code implementations • 21 Nov 2020 • Mengjin Zhao, Guangyan Jia
To achieve robustness of risk across different assets, risk parity investing rules, a particular state of risk contributions, have grown in popularity over the previous few decades.
