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| Formato: | Preprint |
| Publicado: |
2021
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| Materias: | |
| Acceso en línea: | https://arxiv.org/abs/2110.08630 |
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| _version_ | 1866913362931089408 |
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| author | Righi, Marcelo Brutti |
| author_facet | Righi, Marcelo Brutti |
| contents | We propose the star-shaped acceptability indexes as generalizations of both the approaches of Cherny and Madan (2009) and Rosazza Gianin and Sgarra (2013) in the same vein as star-shaped risk measures generalize both the classes of coherent and convex risk measures in Castagnoli et al. (2022). We characterize acceptability indexes through star-shaped risk measures, star-shaped acceptance sets, and as the minimum of a family of quasi-concave acceptability indexes. Further, we introduce concrete examples under our approach linked to Value at Risk, risk-adjusted reward on capital, reward-based gain-loss ratio, monotone reward-deviation ratio, and robust acceptability indexes. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2110_08630 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Star-shaped acceptability indexes Righi, Marcelo Brutti Risk Management We propose the star-shaped acceptability indexes as generalizations of both the approaches of Cherny and Madan (2009) and Rosazza Gianin and Sgarra (2013) in the same vein as star-shaped risk measures generalize both the classes of coherent and convex risk measures in Castagnoli et al. (2022). We characterize acceptability indexes through star-shaped risk measures, star-shaped acceptance sets, and as the minimum of a family of quasi-concave acceptability indexes. Further, we introduce concrete examples under our approach linked to Value at Risk, risk-adjusted reward on capital, reward-based gain-loss ratio, monotone reward-deviation ratio, and robust acceptability indexes. |
| title | Star-shaped acceptability indexes |
| topic | Risk Management |
| url | https://arxiv.org/abs/2110.08630 |