2022/08/31 by Marcelo Brutti Righi, Righi, Marcelo Brutti, Fernanda Maria Müller +3 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #FOS: Economics and business #Insurance, Mortality, Demography, Risk Management #Risk Management (q-fin.RM) #Risk and Portfolio Optimization #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2208.14809
openalex publication_date 2022/08/31 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We propose a risk measurement approach for a risk-averse stochastic problem. We provide results that guarantee that our problem has a solution. We characterize and explore the properties of the argmin as a risk measure and the minimum as a deviation measure. We provide a connection between linear regression models and our framework. Based on this conception, we consider conditional risk and provide a connection between the minimum deviation portfolio and linear regression. Moreover, we also link the optimal replication hedging to our framework.