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Star-Shaped deviations

Published 18 Jul 2022 in q-fin.RM | (2207.08613v1)

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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