Star-shaped acceptability indexes

DOI10.1016/J.INSMATHECO.2024.05.002MaRDI QIDQ6573824zbMATH OpenFDO

Authors Marcelo Brutti Righi

Publication date 17 July 2024

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2024.05.002

zbMATH Keywords

gain-loss ratioperformance measuresrisk adjusted return on capitalstar-shaped acceptability indexesstar-shaped risk measures

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

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Cites work

• A composition between risk and deviation measures
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• Acceptability indexes via \(g\)-expectations: an application to liquidity risk
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• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
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• On the link between monetary and star-shaped risk measures
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• Star-Shaped Risk Measures
• Stochastic finance. An introduction in discrete time.
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• Upside beta ratio: a performance measure for potential-seeking investors
• When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio
• When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio -- a comment

Cited in

(1)

• Set-valued star-shaped risk measures

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