Star-Shaped deviations

Marcelo Righi () and Marlon Ruoso Moresco

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Abstract: We propose the Star-Shaped deviation measures in the same vein as Star-Shaped risk measures and Star-Shaped acceptability indexes. We characterize Star-Shaped deviation measures through Star-Shaped acceptance sets and as the minimum of a family of Convex deviation measures. We also expose an interplay between Star-Shaped risk measures and deviation measures.

Date: 2022-07
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Citations: View citations in EconPapers (3)

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