4 papers in the archive (2023–2025), average empirical rigor 3.9/10, average math complexity 8.4/10. Quadrant mix: Holy Grail ×2, Lab Rats ×2.
Works mostly in Risk Management & Tail Risk, Portfolio Optimization.
Frequent co-authors: Chuancun Yin (4), Narayanaswamy Balakrishnan (1), Jing Yao (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
This paper examines eight measures of skewness and Mardia measure of kurtosis for skew-elliptical distributions. Multivariate measures of skewness considered include Mardia, Malkovich-Afifi, Isogai, Song, Balakrishnan-Brito-Quiroz, M$\acute{o}$ri, Rohatgi and Sz$\acute{e}$kely, Kollo and Srivastava
In this paper, we propose the multivariate range Value-at-Risk (MRVaR) and the multivariate range covariance (MRCov) as two risk measures and explore their desirable properties in risk management. In particular, we explain that such range-based risk measures are appropriate for risk management of re
In this paper, we develop the lower and upper bounds of worst-case distortion riskmetrics and weighted entropy for unimodal, and symmetric unimodal distributions when mean and variance information are available. We also consider the sharp upper bounds of distortion riskmetrics and weighted entropy f
In this paper, we discuss the worst-case of distortion riskmetrics for general distributions when only partial information (mean and variance) is known. This result is applicable to general class of distortion risk measures and variability measures. Furthermore, we also consider worst-case of weight