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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
Persistent link: https://www.econbiz.de/10012653706
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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
Persistent link: https://www.econbiz.de/10014278005
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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
Persistent link: https://www.econbiz.de/10014278678
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Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making
Wang, Wei; Xu, Huifu - In: Computational management science 20 (2023) 1, pp. 1-51
Persistent link: https://www.econbiz.de/10014393426
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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
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To what extent can new web-based technology improve forecasts? : assessing the economic value of information derived from Virtual Globes and its rate of diffusion in a financial ma...
Green, Lawrence; Sung, Ming-chien; Ma, Tiejun; Johnson, … - In: European journal of operational research : EJOR 278 (2019) 1, pp. 226-239
Persistent link: https://www.econbiz.de/10012102607
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Time is money : costing the impact of duration misperception in market prices
Ma, Tiejun; Tang, Leilei; McGroarty, Frank; Sung, Ming-chien - In: European journal of operational research : EJOR 255 (2016) 2, pp. 397-410
Persistent link: https://www.econbiz.de/10011532085
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Can deep learning predict risky retail investors? : A case study in financial risk behavior forecasting
Kim, A.; Yang, Y.; Lessmann, Stefan; Ma, Tiejun; Sung, M.-C. - In: European journal of operational research : EJOR 283 (2020) 1, pp. 217-234
Persistent link: https://www.econbiz.de/10012161963
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A new methodology for generating and combining statistical forecasting models to enhance competitive event prediction
Lessmann, Stefan; Sung, Ming-chien; Johnson, Johnnie E. V. - In: European journal of operational research : EJOR 218 (2012) 1, pp. 163-174
Persistent link: https://www.econbiz.de/10009501053
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Optimal asset allocation using a combination of implied and historical information
Cheang, Chi Wan; Olmo, Jose; Ma, Tiejun; Sung, Ming-chien; … - In: International review of financial analysis 67 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012299166