2 papers
q-fin.MF2026
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…
econ.EM2024
Convolution Mode Regression
Eduardo Schirmer Finn, Eduardo Horta
For highly skewed or fat-tailed distributions, mean or median-based methods often fail to capture the central tendencies in the data. Despite being a viable alternative, estimating…