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pro vyhledávání: '"Han, Xia"'
In this paper, we investigate the robust models for $\Lambda$-quantiles with partial information regarding the loss distribution, where $\Lambda$-quantiles extend the classical quantiles by replacing the fixed probability level with a probability/los
Externí odkaz:
http://arxiv.org/abs/2406.13539
Autor:
Boonen, Tim J., Han, Xia
This paper studies an optimal insurance contracting problem in which the preferences of the decision maker given by the sum of the expected loss and a convex, increasing function of a deviation measure. As for the deviation measure, our focus is on c
Externí odkaz:
http://arxiv.org/abs/2312.01813
Mean-deviation models, along with the existing theory of coherent risk measures, are well studied in the literature. In this paper, we characterize monotonic mean-deviation (risk) measures from a general mean-deviation model by applying a risk-weight
Externí odkaz:
http://arxiv.org/abs/2312.01034
In this paper, we study a continuous-time exploratory mean-variance (EMV) problem under the framework of reinforcement learning (RL), and the Choquet regularizers are used to measure the level of exploration. By applying the classical Bellman princip
Externí odkaz:
http://arxiv.org/abs/2307.03026
In this paper, we first introduce several new classes of weighted amalgam spaces. Then we discuss both strong type and weak type estimates for certain multilinear $\theta$-type Calder\'on--Zygmund operators $T_\theta$ recently introduced in the liter
Externí odkaz:
http://arxiv.org/abs/2302.11543
In this paper, we consider the boundedness properties of multilinear $\theta$-type Calder\'on--Zygmund operators $T_\theta$ recently introduced in the literature. First, we prove strong type and weak type estimates for multilinear $\theta$-type Calde
Externí odkaz:
http://arxiv.org/abs/2302.05570
The diversification quotient (DQ) is recently introduced for quantifying the degree of diversification of a stochastic portfolio model. It has an axiomatic foundation and can be defined through a parametric class of risk measures. Since the Value-at-
Externí odkaz:
http://arxiv.org/abs/2301.03517
We propose \emph{Choquet regularizers} to measure and manage the level of exploration for reinforcement learning (RL), and reformulate the continuous-time entropy-regularized RL problem of Wang et al. (2020, JMLR, 21(198)) in which we replace the dif
Externí odkaz:
http://arxiv.org/abs/2208.08497
We establish the first axiomatic theory for diversification indices using six intuitive axioms: non-negativity, location invariance, scale invariance, rationality, normalization, and continuity. The unique class of indices satisfying these axioms, ca
Externí odkaz:
http://arxiv.org/abs/2206.13679
Publikováno v:
In International Business Review June 2024 33(3)