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Star-Shaped deviations

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.

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Co-authorshipAuthorshipAuthorshipTopic signalWStar-Shaped deviationspreprint / 2022AMarcelo Brutti RighiResearcherAMarlon Ruoso MorescoResearcherTq-fin.RM381 works
PaperSignal 103 links

Star-Shaped deviations

preprint / 2022

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