39 citations · 107 across the 12 of their papers we have counts for
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q-fin.RM2017★ 13 cited
On a robust risk measurement approach for capital determination errors minimization
Marcelo Brutti Righi, Fernanda Maria Müller, Marlon Ruoso Moresco
We propose a robust risk measurement approach that minimizes the expectation of overestimation plus underestimation costs. We consider uncertainty by taking the supremum over a col…
q-fin.RM2017
Extended Gini-type measures of risk and variability
Mohammed Berkhouch, Ghizlane Lakhnati, Marcelo Brutti Righi
The aim of this paper is to introduce a risk measure that extends the Gini-type measures of risk and variability, the Extended Gini Shortfall, by taking risk aversion into consider…