39 citations · 107 across the 12 of their papers we have counts for
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q-fin.RM2015★ 38 cited
A composition between risk and deviation measures
Marcelo Brutti Righi
The intuition of risk is based on two main concepts: loss and variability. In this paper, we present a composition of risk and deviation measures, which contemplate these two conce…
q-fin.RM2015★ 39 cited
Shortfall Deviation Risk: An alternative to risk measurement
Marcelo Brutti Righi, Paulo Sergio Ceretta
We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occurs with certain probability penalized by the dispersion of results that are…