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2020 – today
- 2024
[j30]Pietro Millossovich
, Andreas Tsanakas, Ruodu Wang:
A theory of multivariate stress testing. Eur. J. Oper. Res. 318(3): 851-866 (2024)- [j29]Takaaki Koike, Liyuan Lin, Ruodu Wang:
Invariant correlation under marginal transforms. J. Multivar. Anal. 204: 105361 (2024) - [i4]Mario Ghossoub, Giulio Principi, Ruodu Wang:
Allocation Mechanisms in Decentralized Exchange Markets with Frictions. CoRR abs/2404.10900 (2024) - 2023
- [j28]Xia Han, Ruodu Wang, Xun Yu Zhou:
Choquet Regularization for Continuous-Time Reinforcement Learning. SIAM J. Control. Optim. 61(5): 2777-2801 (2023) - [j27]Tolulope Fadina, Peng Liu, Ruodu Wang:
One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles. SIAM J. Financial Math. 14(2): 644-662 (2023) - [i3]Zhenyuan Zhang, Aaditya Ramdas, Ruodu Wang:
When do exact and powerful p-values and e-values exist? CoRR abs/2305.16539 (2023) - 2022
- [j26]Paul Embrechts, Alexander Schied, Ruodu Wang:
Robustness in the Optimization of Risk Measures. Oper. Res. 70(1): 95-110 (2022) - [j25]Erio Castagnoli, Giacomo Cattelan, Fabio Maccheroni, Claudio Tebaldi, Ruodu Wang:
Star-Shaped Risk Measures. Oper. Res. 70(5): 2637-2654 (2022) - [j24]Fangda Liu, Tiantian Mao, Ruodu Wang, Linxiao Wei:
Inf-Convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures. Math. Oper. Res. 47(3): 2494-2519 (2022) - [j23]Zhenyu Cui, Yanchu Liu, Ruodu Wang:
Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient. Oper. Res. Lett. 50(2): 199-204 (2022) - [i2]Xia Han, Ruodu Wang, Xun Yu Zhou:
Choquet regularization for reinforcement learning. CoRR abs/2208.08497 (2022) - 2021
- [j22]Jan-Frederik Mai, Ruodu Wang:
Stochastic decomposition for ℓp-norm symmetric survival functions on the positive orthant. J. Multivar. Anal. 184: 104760 (2021) - [j21]Ruodu Wang, Ricardas Zitikis:
An Axiomatic Foundation for the Expected Shortfall. Manag. Sci. 67(3): 1413-1429 (2021) - [j20]Fangda Liu, Ruodu Wang:
A Theory for Measures of Tail Risk. Math. Oper. Res. 46(3): 1109-1128 (2021) - [j19]Peng Liu, Alexander Schied, Ruodu Wang:
Distributional Transforms, Probability Distortions, and Their Applications. Math. Oper. Res. 46(4): 1490-1512 (2021) - [c1]Ziyu Xu, Ruodu Wang, Aaditya Ramdas:
A unified framework for bandit multiple testing. NeurIPS 2021: 16833-16845 - [i1]Ziyu Xu, Ruodu Wang, Aaditya Ramdas:
A unified framework for bandit multiple testing. CoRR abs/2107.07322 (2021) - 2020
- [j18]Ruodu Wang, Ricardas Zitikis:
Weak comonotonicity. Eur. J. Oper. Res. 282(1): 386-397 (2020) - [j17]Ruodu Wang, Yunran Wei, Gordon E. Willmot:
Characterization, Robustness, and Aggregation of Signed Choquet Integrals. Math. Oper. Res. 45(3): 993-1015 (2020) - [j16]Paul Embrechts, Haiyan Liu, Tiantian Mao, Ruodu Wang:
Quantile-based risk sharing with heterogeneous beliefs. Math. Program. 181(2): 319-347 (2020) - [j15]Tiantian Mao, Ruodu Wang:
Risk Aversion in Regulatory Capital Principles. SIAM J. Financial Math. 11(1): 169-200 (2020)
2010 – 2019
- 2019
- [j14]Tiantian Mao, Bin Wang, Ruodu Wang:
Sums of standard uniform random variables. J. Appl. Probab. 56(3): 918-936 (2019) - 2018
- [j13]Paul Embrechts, Haiyan Liu, Ruodu Wang:
Quantile-Based Risk Sharing. Oper. Res. 66(4): 936-949 (2018) - [j12]Lujun Li, Hui Shao, Ruodu Wang, Jingping Yang:
Worst-Case Range Value-at-Risk with Partial Information. SIAM J. Financial Math. 9(1): 190-218 (2018) - 2017
- [j11]Carole Bernard, Ludger Rüschendorf, Steven Vanduffel, Ruodu Wang:
Risk bounds for factor models. Finance Stochastics 21(3): 631-659 (2017) - 2016
- [j10]Bin Wang, Ruodu Wang:
Joint Mixability. Math. Oper. Res. 41(3): 808-826 (2016) - 2015
- [j9]Paul Embrechts, Bin Wang, Ruodu Wang:
Aggregation-robustness and model uncertainty of regulatory risk measures. Finance Stochastics 19(4): 763-790 (2015) - [j8]Giovanni Puccetti, Ruodu Wang:
Detecting complete and joint mixability. J. Comput. Appl. Math. 280: 174-187 (2015) - [j7]Bin Wang, Ruodu Wang:
Extreme negative dependence and risk aggregation. J. Multivar. Anal. 136: 12-25 (2015) - [j6]Tiantian Mao, Ruodu Wang:
On aggregation sets and lower-convex sets. J. Multivar. Anal. 138: 170-181 (2015) - [j5]Ruodu Wang, Valeria Bignozzi, Andreas Tsanakas:
How Superadditive Can a Risk Measure Be? SIAM J. Financial Math. 6(1): 776-803 (2015) - 2014
- [j4]Ruodu Wang:
Asymptotic Bounds for the Distribution of the Sum of Dependent Random Variables. J. Appl. Probab. 51(3): 780-798 (2014) - 2013
- [j3]Ruodu Wang, Liang Peng, Jingping Yang:
Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities. Finance Stochastics 17(2): 395-417 (2013) - 2012
- [j2]Giovanni Puccetti, Bin Wang, Ruodu Wang:
Advances in Complete Mixability. J. Appl. Probab. 49(2): 430-440 (2012) - 2011
- [j1]Bin Wang, Ruodu Wang:
The complete mixability and convex minimization problems with monotone marginal densities. J. Multivar. Anal. 102(10): 1344-1360 (2011)
Coauthor Index
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