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Author

Yi-Ying Zhang

2 papers indexed here

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Preprint Oct 2026

Robust distortion riskmetrics under symmetry, unimodality, and Wasserstein constraints

We study worst-case distortion riskmetrics over symmetric distributions with prescribed mean and variance in a Wasserstein ball around a reference distribution. Our key contribution is the construction of a reference-dependent auxiliary distortion that encodes the Wasserstein constraint while preserving symmetry under...

Peng Liu, Yi-Ying Zhang, Bai-Shuai Zuo · 0 citations
Preprint Sep 2026

Extremal Mean-Variance Functionals over Wasserstein Balls: Applications to Risk Sharing

We characterize the worst- and best-case values of a mean-variance functional over a 2-Wasserstein ball. Using quantile representations and the geometry of attainable means and standard deviations, we reduce both infinite-dimensional problems to scalar equations and construct the extremal laws as location-scale transfo...

Wen-Jun Jiang, Yi-Ying Zhang, Zhen-Feng Zou · 0 citations

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