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Yugu Xiao

Renmin University of China - Institute of Statistics and Big Data

Beijing

China

  • Renmin University of China - Institute of Statistics and Big Data

SCHOLARLY PAPERS

2

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760

TOTAL CITATIONS

5

Scholarly Papers (2)

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1.

A Black-Litterman Asset Allocation Model Under Elliptical Distributions

Number of pages: 20 Posted: 24 Aug 2010 Last Revised: 31 Aug 2010
Yugu Xiao and Emiliano A. Valdez
Renmin University of China - Institute of Statistics and Big Data and University of Connecticut - Department of Mathematics
Downloads 482 (148,395)
Citation 5

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optimal asset allocation, Black-Litterman model, risk measures, Elliptical distributions

2.

On the Distortion of a Copula and its Margins

Scandinavian Actuarial Journal, Forthcoming
Number of pages: 25 Posted: 20 Dec 2009 Last Revised: 24 Feb 2011
Emiliano A. Valdez and Yugu Xiao
University of Connecticut - Department of Mathematics and Renmin University of China - Institute of Statistics and Big Data
Downloads 278 (275,238)

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Multivariate Distortion, Ordering of Risks, Probability Integral Transformation, Excess of Loss Reinsurance