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Wealth composition and the demand for risky assets

Chen, Mingshen; Lu, Huei-chung - In: Jingji-lunwen 32 (2004) 1, pp. 1-21

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A state-of-the-art fund performance index : higher-order omega and its consistency with almost stochastic dominance

Lu, Hengzhen; Zhang, Yingying; Xiao, Ling; Dhesi, Gurjeet - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-20

This paper provides a mathematical proof and theoretical analysis of the one-to-one consistency between higher-order Omega and Almost Stochastic Dominance rules when evaluating fund performance. The consistency between higher-order Omega and Almost Nth-degree Stochastic Dominance reinforces the...

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Preference Robust Distortion Risk Measure and Its Application

Wang, Wei; Xu, Huifu - 2021

Distortion risk measure (DRM) plays a crucial role in risk measuring and managing, especially in insurance pricing. Various DRMs have been introduced but little is discussed about which DRM at hand should be chosen to address a decision maker (DM)'s risk attitude. This paper aims to fill out the...

Persistent link: https://www.econbiz.de/10013240785

Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization

Meskarian, Rudabeh; Xu, Huifu; Fliege, Jörg - In: European journal of operational research : EJOR 216 (2012) 2, pp. 376-385

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Monte Carlo methods for mean-risk optimization and portfolio selection

Xu, Huifu; Zhang, Dali - In: Computational Management Science : CMS 9 (2012) 1, pp. 3-29

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Quantitative statistical robustness for tail-dependent law invariant risk measures

Wang, Wei; Xu, Huifu; Ma, Tiejun - In: Quantitative finance 21 (2021) 10, pp. 1669-1685

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Insurance premium-based shortfall risk measure induced by cumulative prospect theory

Zhang, Sainan; Xu, Huifu - In: Computational management science 19 (2022) 4, pp. 703-738

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Shortfall risk models when information on loss function is incomplete

Delage, Erick; Guo, Shaoyan; Xu, Huifu - In: Operations research 70 (2022) 6, pp. 3511-3518

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Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation

Wang, Wei; Xu, Huifu; Ma, Tiejun - In: European journal of operational research : EJOR 306 (2023) 1, pp. 322-347

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Preference robust distortion risk measure and its application

Wang, Wei; Xu, Huifu - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 389-434

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