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Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory

Mao, Tiantian; Wang, Ruodu - In: Journal of mathematical economics 103 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10014230385

Variance Comparison between Infinitesimal Perturbation Analysis and Likelihood Ratio Estimators to Stochastic Gradient

Cui, Zhenyu; Liu, Yanchu; Wang, Ruodu - 2021

We theoretically compare variances between the Infinitesimal Perturbation Analysis (IPA) estimator and the Likelihood Ratio (LR) estimator to Monte Carlo gradient for stochastic systems. The conditions proposed in [Cui et al., 2020] when the IPA estimator has a smaller variance can yield sharper...

Persistent link: https://www.econbiz.de/10013220887

Parametric measures of variability induced by risk measures

Bellini, Fabio; Fadina, Tolulope; Wang, Ruodu; Wei, Yunran - In: Insurance / Mathematics & economics 106 (2022), pp. 270-284

Persistent link: https://www.econbiz.de/10013380547

Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient

Cui, Zhenyu; Liu, Yanchu; Wang, Ruodu - In: Operations research letters 50 (2022) 2, pp. 199-204

Persistent link: https://www.econbiz.de/10013192693

A new characterization of second-order stochastic dominance

Guan, Yuanying; Huang, Muqiao; Wang, Ruodu - 2024

Persistent link: https://www.econbiz.de/10015357883

Risk excess measures induced by hemi-metrics

Faugeras, Olivier; Rüschendorf, Ludger - 2018

Persistent link: https://www.econbiz.de/10013488890

Optimality of payoffs in Lévy models

Hammerstein, Ernst August v.; Lütkebohmert, Eva; … - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-46

Persistent link: https://www.econbiz.de/10010438495

Comparison of option prices in seminartingale models

Bergenthum, Jan; Rüschendorf, Ludger - In: Finance and stochastics 10 (2006) 2, pp. 222-249

Persistent link: https://www.econbiz.de/10003334918

On the method of optimal portfolio choice by cost-efficiency

Rüschendorf, Ludger; Wolf, Viktor - In: Applied mathematical finance 23 (2016) 1/2, pp. 158-173

Persistent link: https://www.econbiz.de/10011547051

Construction and hedging of optimal payoffs in Lévy models

Rüschendorf, Ludger; Wolf, Viktor - In: Advanced modelling in mathematical finance : in honour …, (pp. 331-377). 2016

Persistent link: https://www.econbiz.de/10011800386