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q-fin.MF2026
Risk Measures on Lipschitz Spaces
Henrik Karlholm, Marlon Moresco, Marcelo Righi
This paper develops a theory of monetary risk measures on metric state spaces. We propose the space of Lipschitz functions vanishing at a reference state as a natural domain for fi…
q-fin.MF2026
Robust risk measures: an averaging approach
Marcelo Righi, Rodrigo Targino
We develop an averaging approach to robust risk measurement under payoff uncertainty. Instead of taking a worst-case value over an uncertainty neighborhood, we weight nearby payoff…
q-fin.MF2024
Set risk measures
Marcelo Righi, Eduardo Horta, Marlon Moresco
We introduce set risk measures (SRMs), real-valued maps defined on the family of non-empty closed bounded sets of essentially bounded random variables. SRMs extend traditional scal…