39 citations · 107 across the 12 of their papers we have counts for
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q-fin.MF2024
Optimal hedging with variational preferences under convex risk measures
Marcelo Righi
We expose a theoretical hedging optimization framework with variational preferences under convex risk measures. We explore a general dual representation for the composition between…
q-fin.MF2023
A note on the induction of comonotonic additive risk measures from acceptance sets
Samuel Solgon Santos, Marlon Ruoso Moresco, Marcelo Brutti Righi +1
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 in…
q-fin.MF2018★ 8 cited
A theory for combinations of risk measures
Marcelo Brutti Righi
We study combinations of risk measures under no restrictive assumption on the set of alternatives. We develop and discuss results regarding the preservation of properties and accep…