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Article
Research on the effectiveness of the volatility–tail risk-managed portfolios in China’s market
This paper attempts to extend the approach of quantitative investment and provide investors with suggestions about volatility timing. Based on the volatility-managed portfolios strategy, we propose two volatil...
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Article
A Note on g-Concave Function
An equivalent condition is derived for g-concave function defined by (static) g-expectation. Several extensions including quadratic generators and (g, h)-concavity are also considered.
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Chapter and Conference Paper
Comparative Risk Aversion for g-Expected Utility Maximizers
An index is introduced to measure the risk aversion of a g-expected utility maximizer.
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Article
On Jensen’s inequality and Hölder’s inequality for g-expectation
In this paper, we shall prove that for n > 1, the n-dimensional Jensen inequality holds for the g-expectation if and only if g is independent of y and linear with respect to z, in other words, the corresponding g
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Article
Jensen’s inequality for g-convex function under g-expectation
A real valued function h defined on \({\mathbb{R}}\) is called g-convex if it satisfies the “generalized Jensen’s inequality” f...
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Article
The minimal sublinear expectations and their related properties
In this paper, we prove that for a sublinear expectation ɛ[·] defined on L 2(Ω, \( \mathcal{F} \) ...