Star-Shaped deviations

Righi, Marcelo Brutti; Moresco, Marlon

doi:10.48550/arxiv.2207.08613

2022

DOI: 10.48550/arxiv.2207.08613

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Star-Shaped deviations

Marcelo Brutti Righi¹,

Marlon Moresco²

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.

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Star-Shaped deviations

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