Zobrazeno 1 - 10
of 203
pro vyhledávání: '"Righi, Marcelo"'
We introduce the concept of set risk measures (SRMs), which are real-valued maps defined on the space of all non-empty, closed, and bounded sets of almost surely bounded random variables. Traditional risk measures typically operate on spaces of rando
Externí odkaz:
http://arxiv.org/abs/2407.18687
Autor:
Righi, Marcelo
Publikováno v:
Quantitative Finance, 2024
We expose a theoretical hedging optimization framework with variational preferences under convex risk measures. We explore a general dual representation for the composition between risk measures and utilities. We study the properties of the optimizat
Externí odkaz:
http://arxiv.org/abs/2407.03431
Autor:
Righi, Marcelo
We study the general properties of robust convex risk measures as they relate to worst-case values under uncertainty in random variables. We establish general concrete results regarding convex conjugates and sub-differentials. We refine results for c
Externí odkaz:
http://arxiv.org/abs/2406.12999
Autor:
Santos, Samuel Solgon, Moresco, Marlon Ruoso, Righi, Marcelo Brutti, Horta, Eduardo de Oliveira
We present simple general conditions on the acceptance sets under which their induced monetary risk and deviation measures are comonotonic additive. We show that acceptance sets induce comonotonic additive risk measures if and only if the acceptance
Externí odkaz:
http://arxiv.org/abs/2307.04647
Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measures. Recent research, however, has shown that this axiom is incompatibl
Externí odkaz:
http://arxiv.org/abs/2212.13864
We propose a risk measurement approach for a risk-averse stochastic problem. We provide results that guarantee that our problem has a solution. We characterize and explore the properties of the argmin as a risk measure and the minimum as a deviation
Externí odkaz:
http://arxiv.org/abs/2208.14809
We propose the Star-Shaped deviation measures in the same vein as Star-Shaped risk measures and Star-Shaped acceptability indexes. We characterize Star-Shaped deviation measures through Star-Shaped acceptance sets and as the minimum of a family of Co
Externí odkaz:
http://arxiv.org/abs/2207.08613
Publikováno v:
In Insurance Mathematics and Economics January 2025 120:42-50
Autor:
Righi, Marcelo Brutti
Publikováno v:
Insurance Mathematics and Economics, 117, 170-181 (2024)
We propose the star-shaped acceptability indexes as generalizations of both the approaches of Cherny and Madan (2009) and Rosazza Gianin and Sgarra (2013) in the same vein as star-shaped risk measures generalize both the classes of coherent and conve
Externí odkaz:
http://arxiv.org/abs/2110.08630
Autor:
Righi, Marcelo Brutti
Publikováno v:
In Insurance Mathematics and Economics July 2024 117:170-181