5 papers in the archive (2024–2026), average empirical rigor 4.5/10, average math complexity 8.5/10. Quadrant mix: Holy Grail ×2, Lab Rats ×3.
Works mostly in Risk Management & Tail Risk, Portfolio Optimization, Insurance & Actuarial Risk.
Frequent co-authors: Fan Yang (2), Peng Liu (2), Haoyu Chen (1), Jun Cai (1), Zhiqiao Song (1), Gilles Stupfler (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%).
In this paper, we present robust portfolio selection models by incorporating a reward and penalty mechanism into portfolio management. We assume that the joint distribution of the losses of the underlying risky assets in a portfolio is uncertain but lies within a multivariate distribution set. Our g
In this paper, we modify the Bayes risk for the expectile, the so-called variantile risk measure, to better capture extreme risks. The modified risk measure is called the adjusted standard-deviatile. First, we derive the asymptotic expansions of the adjusted standard-deviatile. Next, based on the fi
Choquet capacities and integrals are central concepts in decision making under ambiguity or model uncertainty, pioneered by Schmeidler. Motivated by risk optimization problems for quantiles under ambiguity, we study the subclass of Choquet integrals, called Choquet quantiles, which generalizes the u
We study a general risk measure called the generalized shortfall risk measure, which was first introduced in Mao and Cai (2018). It is proposed under the rank-dependent expected utility framework, or equivalently induced from the cumulative prospect theory. This risk measure can be flexibly designed
In this paper, we study the diversification properties of convex combinations of iid infinitely divisible random variables. For Lévy processes with bounded variation sample paths, we characterize, in terms of subadditivity and concavity of the transformed Lévy tails, Lévy processes that exhibit the