Star-Shaped deviations
Risk Management
2022-07-19 v1
Abstract
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 Convex deviation measures. We also expose an interplay between Star-Shaped risk measures and deviation measures.
Keywords
Cite
@article{arxiv.2207.08613,
title = {Star-Shaped deviations},
author = {Marcelo Brutti Righi and Marlon Ruoso Moresco},
journal= {arXiv preprint arXiv:2207.08613},
year = {2022}
}