39 citations · 107 across the 12 of their papers we have counts for
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q-fin.RM2020
Minkowski gauges and deviation measures
Marlon Moresco, Marcelo Righi, Eduardo Horta
We propose to derive deviation measures through the Minkowski gauge of a given set of acceptable positions. We show that, given a suitable acceptance set, any positive homogeneous…
q-fin.RM2020★ 7 cited
Inf-convolution and optimal risk sharing with countable sets of risk measures
Marcelo Brutti Righi, Marlon Ruoso Moresco
The inf-convolution of risk measures is directly related to risk sharing and general equilibrium, and it has attracted considerable attention in mathematical finance and insurance…