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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.MF2023
Risk Budgeting Allocation for Dynamic Risk Measures
Silvana M. Pesenti, Sebastian Jaimungal, Yuri F. Saporito +1
We define and develop an approach for risk budgeting allocation - a risk diversification portfolio strategy - where risk is measured using a dynamic time-consistent risk measure. F…