Minkowski deviation measures

DOI10.1515/STRM-2021-0033MaRDI QIDQ2679207zbMATH OpenOpenAlexFDO

Authors Marlon Ruoso Moresco, Marcelo Brutti Righi, Eduardo Horta

Publication date 19 January 2023

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/strm-2021-0033

zbMATH Keywords

acceptance setsconvex analysisdeviation measuresMinkowski deviationsMinkowski gaugesrisk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Recommendations

• Generalized deviations in risk analysis
• Convex measures of risk and trading constraints
• Duality for set-valued measures of risk
• Characterization of acceptance sets for co-monotone risk measures
• A composition between risk and deviation measures

Cites work

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• Surplus-invariant, law-invariant, and conic acceptance sets must be the sets induced by value at risk
• The canonical model space for law-invariant convex risk measures is \(L^{1}\)
• Which eligible assets are compatible with comonotonic capital requirements?

Cited in

(2)

• A note on the induction of comonotonic additive risk measures from acceptance sets
• On the solution uniqueness in portfolio optimization and risk analysis

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