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An axiomatic theory for anonymized risk sharing
We study an axiomatic framework for anonymized risk sharing.
Portfolio Selection under Median and Quantile Maximization
Although maximizing median and quantiles is intuitively appealing and has an axiomatic foundation, it is difficult to study the optimal portfolio strategy due to the discontinuity and time inconsistency in the objective function.
EM Algorithm and Stochastic Control in Economics
Similar to the EM algorithm, the EM-C algorithm has the monotonicity of performance improvement in each iteration, leading to good convergence properties.
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