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q-fin.RM2022
The limitations of comonotonic additive risk measures: a literature review
Samuel Solgon Santos, Marcelo Brutti Righi, Eduardo de Oliveira Horta
Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measur…
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…