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Star-shaped deviations

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Publication:2084035
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DOI10.1016/j.orl.2022.08.001OpenAlexW4294001495MaRDI QIDQ2084035

Marcelo Brutti Righi, Marlon Ruoso Moresco

Publication date: 17 October 2022

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.08613


zbMATH Keywords

risk measuresstar-shaped setsacceptance setsdeviation measures


Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)




Cites Work

  • Unnamed Item
  • Stochastic finance. An introduction in discrete time.
  • Convex measures of risk and trading constraints
  • A decomposition of general premium principles into risk and deviation
  • A composition between risk and deviation measures
  • Generalized deviations in risk analysis
  • Subdifferential representations of risk measures
  • On the link between monetary and star-shaped risk measures
  • Coherent Measures of Risk
  • Maximum Entropy Principle with General Deviation Measures
  • Characterization, Robustness, and Aggregation of Signed Choquet Integrals
  • Liquidity risk theory and coherent measures of risk
  • Star-Shaped Risk Measures
  • Risk Aversion in Regulatory Capital Principles
  • Liquidity, Risk Measures, and Concentration of Measure


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