Hui Shao

National University of Singapore (NUS) - Risk Management Institute

21 Heng Mui Keng Terrace

Level 4

Singapore, 119613

Singapore

SCHOLARLY PAPERS

5

DOWNLOADS

569

SSRN CITATIONS

8

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

Worst-Case Range Value-at-Risk with Partial Information

Number of pages: 35 Posted: 21 Feb 2017
Peking University, National University of Singapore (NUS) - Risk Management Institute, University of Waterloo - Department of Statistics and Actuarial Science and Peking University - School of Mathematical Sciences
Downloads 197 (209,958)
Citation 6

Abstract:

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model uncertainty, risk aggregation, Range Value-at-Risk, Value-at-Risk, Tail Value-at-Risk, convex order

2.

Closed-Form Solutions for Extreme-Case Distortion Risk Measures and Applications to Robust Portfolio Management

Number of pages: 29 Posted: 24 Jan 2018 Last Revised: 01 Dec 2018
Wenhao Zhu and Hui Shao
affiliation not provided to SSRN and National University of Singapore (NUS) - Risk Management Institute
Downloads 147 (268,944)
Citation 4

Abstract:

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model uncertainty, extreme case, distortion risk measure, robust portfolio selection

3.

Tail Dependence Modification of the Gaussian Copula: A Distorted Mix Method

Number of pages: 20 Posted: 21 Apr 2017 Last Revised: 30 Nov 2018
Hui Shao
National University of Singapore (NUS) - Risk Management Institute
Downloads 94 (369,435)

Abstract:

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Gaussian Copula, CAB copula, Distorted mix method, Tail Dependence.

4.

Top Incomes and Income Inequality Indices: A Unified Framework Based on Inequality Index Curves

Number of pages: 53 Posted: 08 Aug 2017 Last Revised: 28 Sep 2019
Min Dai, Steven Kou and Hui Shao
The Hong Kong Polytechnic University, Boston University and National University of Singapore (NUS) - Risk Management Institute
Downloads 70 (438,489)

Abstract:

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income inequality, top incomes, Gini coefficient, weighted expected utility theory

5.

Sparse Markowitz Portfolio Selection by Penalty Methods

Number of pages: 30 Posted: 07 Aug 2017
Qiyu Wang and Hui Shao
Hong Kong Polytechnic University - Department of Applied Mathematics and National University of Singapore (NUS) - Risk Management Institute
Downloads 61 (470,172)

Abstract:

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